Interest Rate Derivatives Quantitative Analyst - Vice President

The role is for a Interest Rate Derivatives Quantitative Analyst (Quant). The successful candidate will have experience as front-office (FO) desk quant, with experience in modeling of derivatives, ideally in rates. The role involves end-to-end ownership of model development and delivery, including implementation, model validation and iteration with key stakeholders.

Requires strong technical and mathematical skills as they relate to mathematical finance; ability to articulate complex technical issues with a variety of stakeholders; proven ability to work in a rigorous and self-motivated environment and deliver excellent and timely solutions.

Responsibilities:

• Develop analytics libraries used for pricing and risk-management
• 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
• 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
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, 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.

Qualifications:

• 6-10 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
• Must have technical/programming skills; C++ and Python and experience developing in a large library
• Strong mathematical skills, particularly in the areas of probability theory and mathematical finance
• Consistently demonstrates clear and concise written and verbal communication skills

Education:

• Bachelor’s/University degree, Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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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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