Quantitative Analyst - Initial Margin, Vice President
Citi
New York, New York, United States
$175,000.00 - $250,000.00; not specified; medical,...
Hybrid
Otc derivatives pricing
Market risk frameworks
Extreme value theory
As a Front Office Quantitative Analyst specializing in Initial Margin, you will join a high‑performing team responsible for building and enhancing models and methodologies that calculate and optimize initial margin for OTC derivatives across all major asset classes
Job Summary
As a Front Office Quantitative Analyst specializing in Initial Margin, you will join a high‑performing team responsible for building and enhancing models and methodologies that calculate and optimize initial margin for OTC derivatives across all major asset classes.
This role offers the opportunity to shape model design, influence trading decisions, and contribute to the stability and competitiveness of Citi’s Markets franchise.
Competitive compensation and performance‑based incentives, comprehensive medical, retirement, and employee benefit programs, and hybrid work arrangements are offered.
Matching Summary
As a Front Office Quantitative Analyst specializing in Initial Margin, you will join a high‑performing team responsible for building and enhancing models and methodologies that calculate and optimize initial margin for OTC derivatives across all major asset classes.
Salary
$175,000.00 - $250,000.00; Not specified; medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
Skills & Requirements
Must-have
OTC derivatives pricing
market risk frameworks
Extreme Value Theory
C++ programming
Python programming
R programming
Nice-to-have
fast-paced environment
evolving regulatory demands
inclusive, diverse, and collaborative workplace
innovation, learning, and continuous improvement
Key Requirements
Postgraduate degree in Mathematics, Physics, Finance, Computer Science, or related quantitative discipline
Extensive experience in OTC derivatives pricing, risk modeling, and market risk frameworks