Model/Anlys/Valid Sr Analyst

Job Description

Citigroup Global Markets Inc. is seeking a Senior Analyst in Model/Analysis/Validation to work in New York. The role focuses on developing and improving financial models for pricing exotic interest rate derivatives. The analyst will provide training to junior quantitative analysts and collaborate with various teams including Traders and technology professionals. The position requires strong expertise in quantitative methods and programming to support the trading business.

Requirements

• Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field.
• 3 years of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support.
• Experience in derivative pricing models development using C++.
• Knowledge of probability and stochastics including Measure Theory.
• Experience in interest rate modelling and exotic derivative products.
• Proficiency in Monte Carlo Methods and partial differential equation solvers.
• Strong understanding of stochastic calculus and Python programming.

Responsibilities

• Provide training to junior quantitative analysts on model methods and techniques.
• Collaborate and interface with Traders, Structurers, and technology professionals.
• Create, implement and support quantitative models for the trading business.
• Develop mathematical models for the pricing of interest rate derivatives.
• Work with the trading function to risk manage the portfolio of interest rate derivatives.
• Develop pricing models using numerical techniques for valuation.
• Cook up with risk and control functions to test and document performance of interest rate derivative models.

Benefits

Citi offers a comprehensive benefits package including competitive pay, stock programs, healthcare coverage, retirement plans, paid time off, parental leave, and programs supporting employee wellbeing and professional development.