Systematic Quantitative Analyst

About the role

Citigroup Global Markets Inc. seeks a Systematic Quantitative Analyst - Director for its New York, New York location.

Responsibilities

• Build algorithms for the live pricing of fixed income instruments.
• Build trade execution algorithms.
• Develop automated and semi-automated quantitative strategies used by trading professionals to price and quote fixed-income instruments for clients.
• Build, configure, and use yield curves to price fixed-income instruments such as bonds, swaps, futures, forward rate agreements (FRAs).
• Assess the performance of the above models by running back-tests and simulations, and create reports to monitor ongoing performance.
• Research, implement, and maintain predictors for various financial quantities involved in trading (prices, volumes, volatility, bid-ask spreads).
• Calibrate and assess the quality of in-house built and third-party statistical and machine-learning predictors.
• Develop success metrics for predictors and implement reports for monitoring their performance.
• Build and implement models and algorithms to hedge portfolios of fixed-income instruments and to analyze risk.
• Develop and maintain infrastructure for researching and executing pricing, hedging and prediction algorithms.
• Specify algorithmic pricing and trading infrastructure needs.
• Rationalize and clean-up existing codebases for algorithmic trading and pricing.
• Develop quantitative 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 quantitative pricing models using numerical techniques for valuation, including Monte Carlo Methods and partial differential equation solvers.
• Collaborate closely with Traders, Structurers, and technology professionals.

Requirements

• Requires a Master’s degree, or foreign equivalent, in Operations Research, Financial Engineering or related field and 5 years of experience as a Quantitative Analyst, Quantitative Trading Analyst or related position developing real time pricing and trade execution algorithms for fixed-income instruments at a financial services institution.
• Alternatively, employer will accept a Bachelor’s degree in the stated fields and 7 years of the specified progressively responsible, post-baccalaureate experience.
• Full span of experience must include: Calibrating and assessing statistical and machine-learning predictors; Maintaining infrastructure for pricing, hedging and prediction algorithms; Developing core analytical capabilities and Data-science/machine-learning libraries; Hardware acceleration, advanced calculus, performance-oriented programming languages, object-oriented software design, Python, kdb, SQL, mathematical finance/ programming, and statistics / probability concepts including Monte Carlo Methods and partial differential equation solvers; Developing yield curves to price fixed-income instruments including bonds, swaps, futures, forward rate agreements (FRAs); and Algorithmic market making including market microstructure.

Qualifications

Full span of experience must include: Calibrating and assessing statistical and machine-learning predictors; Maintaining infrastructure for pricing, hedging and prediction algorithms; Developing core analytical capabilities and Data-science/machine-learning libraries; Hardware acceleration, advanced calculus, performance-oriented programming languages, object-oriented software design, Python, kdb, SQL, mathematical finance/ programming, and statistics / probability concepts including Monte Carlo Methods and partial differential equation solvers; Developing yield curves to price fixed-income instruments including bonds, swaps, futures, forward rate agreements (FRAs); and Algorithmic market making including market microstructure.

Skills

For complementary skills, please see above and/or contact the recruiter.

Benefits

Wage Range: $275,000 to $275,000

Pay

Wage Range: $275,000 to $275,000

Schedule

Time Type: Full time