Citigroup Global Markets Inc. seeks a Quantitative Analyst, AVP for its New York, New York location.

Duties: Develop analytics libraries used for pricing and risk-management for the trading business. Prototype and implement quantitative models using Python with advanced object-oriented designs and highly-performing coding algorithms. Perform data analysis using machine learning on large financial datasets with TensorFlow Keras, PyTorch or Scikit-learn. Perform data analysis using Machine Learning for large financial datasets to derive pre-trade and post-trade analytics including default probabilities for credit issuers. Develop models in financial markets using machine learning model evaluation metrics. Leverage 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. Use supervised and unsupervised learning algorithms including multi-linear regressions, neural networks, PCA, K-means clustering. Leverage data visualization techniques to aid with data engineering inclusive of outlier detection and distribution fitting. Perform time series analysis to identify relative value signals between different fixed income instruments or forecasting future revenue, applying asset class pricing fundamentals for fixed income, equities, FX, or commodities. Develop multi-factor models to evaluate financial portfolio risk and explain investment performance. Collaborate with control functions to ensure appropriate governance and control infrastructure. Appropriately assess risk/reward of transactions when making business decisions. Be familiar with and adhere to Code of Conduct and the Plan of Supervision for Global Markets and Securities Services. Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree in Mathematics, Engineering, Mathematical Finance, Financial Engineering or related quantitative field and 2 years of experience as a Quantitative Analyst, Quantitative Researcher, Data Scientist, Software Engineer, Modeling/Forecasting Senior Analyst, Risk Associate, or related position involving using coding algorithms for prototyping and implementing quantitative models for a global financial institution. Alternatively, will accept a Bachelor’s degree in the stated fields and 5 years of the specified progressive, post-baccalaureate experience. 2 years of experience must include: Prototyping and implementing quantitative models using Python with advanced object-oriented designs and highly-performing coding algorithms; Data analysis using Machine Learning for large financial datasets to derive pre-trade and post-trade analytics including default probabilities for credit issuers; Data analysis using machine learning on large financial datasets with TensorFlow Keras, PyTorch or Scikit-learn; Supervised and unsupervised learning algorithms including multi-linear regressions, neural networks, PCA, K-means clustering; Developing models in financial markets using machine learning model evaluation metrics; Leveraging data visualization techniques to aid with data engineering inclusive of outlier detection and distribution fitting; Performing time series analysis to identify relative value signals between different fixed income instruments or forecasting future revenue; Asset class pricing fundamentals for one of the following: fixed income, equities, FX, or commodities; and Developing multi-factor models to evaluate financial portfolio risk and explain investment performance. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25847295. EO Employer.

Wage Range: $175,000 to $175,000

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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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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