C++/Python Quantitative Developer - Cross Asset XVA and Capital Analytics (Vice President)

Job description

The Quantitative Analyst is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. Responsibilities: Develop analytics libraries used for pricing and risk-management Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers Collaborate closely with Traders, Structurers, and technology professionals. Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure Build a culture of responsible finance, good governance and supervision, expense discipline and ethics Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation. Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same Adhere to all policies and procedures as defined by your role which will be communicated to you Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe Recommended Qualifications: Experience in a comparable quantitative modeling or analytics role, ideally in the financial sector Must have technical/programming skills; C# .Net, SQL and C++ Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles Must also possess any level of product knowledge, Investments and Quantitative Methods Consistently demonstrates clear and concise written and verbal communication skills Education: Bachelor’s/University degree, Master’s degree or doctorate preferred This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required. ------------------------------------------------------ Job Family Group: Institutional Trading ------------------------------------------------------ Job Family: Quantitative Analysis ------------------------------------------------------ Time Type: Full time ------------------------------------------------------ Most Relevant Skills Please see the requirements listed above. ------------------------------------------------------ Other Relevant Skills For complementary skills, please see above and/or contact the recruiter. ------------------------------------------------------ Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi . View Citi’s EEO Policy Statement and the Know Your Rights poster.