Quantitative Analyst - Interest Rate Derivatives, Analyst Level

Citi Handlowy

New York, New York, United States
Base: $110,000.00 - $125,000.00; bonus/equity: dis...
Interest rate derivatives
Pricing model development
Quantitative modelling
Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives

Job Summary

  • Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.
  • Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools.
  • Collaborate closely with Traders, Structurers, and technology professionals to deliver effective solutions.

Matching Summary

Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.

Salary

Base: $110,000.00 - $125,000.00; Bonus/Equity: discretionary and formulaic incentive and retention awards; Benefits: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs

Skills & Requirements

Must-have

  • Interest Rate Derivatives
  • pricing model development
  • quantitative modelling
  • C++ and Python
  • statistics and probability
  • software design principles

Nice-to-have

  • responsible finance
  • good governance
  • ethics
  • risk/reward assessment

Key Requirements

  • Master's or PhD degree
  • Experience in quantitative modelling
  • Experience with standard rates models
  • Experience with rates products

Work Rights

Not specified

Tailored Resume

Cover Letter