Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location.
Duties: Research and implement automated and semi-automated strategies for trading fixed-income financial instruments. Design and implement strategies used to manage the risk of the resulting fixed-income product portfolios. Develop statistical predictors for prices, volatilities, volumes bid-ask spreads, quotes and quote requests, limit order books and other electronic market microstructure quantities, to be utilized as subcomponents of models and strategies. Develop and maintain the infrastructure used to store and access data to research and monitor models and strategies. Utilize risk-neutral asset-pricing theories including discount-factor based models and yield-curve building techniques to build live financial product pricing applications. Use advanced optimization techniques, stochastic control processes, reinforcement-learning approaches and dynamic portfolio allocation methods to implement efficient portfolio risk-management strategies. Utilize statistical, time-series analyses and machine-learning models to build various financial predictors and estimators. Define appropriate success measures for models to validate their behavior. Build programming infrastructure.
Requirements: Requires a Masters degree in Computational Finance, Mathematics, Computer Science, Electrical Engineering, Financial Engineering, Operations Research, Statistics, or related field and 2 years of experience as a Quantitative Analyst, Data Scientist, or related position. 1 year of experience must include: Java; Python; Database query language q; Bond and swap valuation; Electronic market microstructure; Machine learning and optimization; Electronic market microstructure; G10 rates financial instruments; and Time series analysis. Qualified applicants submit resumes referencing job code JC/QA/WK at https://jobs.citi.com/ or to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroups Employee Referral Program. Direct applicants only.
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**Job Family Group:**
Institutional Trading
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**Job Family:**
Quantitative Analysis
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**Time Type:**
Full time
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Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
