Quantitative Analyst - Cross Product Margining Business

Summary:

A front office quantitative analyst to develop and maintain models used for regulatory and non-regulatory Initial Margin.

Job Description:

Initial margin is an effective risk management tool to reduce counterparty risk and it is enforced by financial regulators globally in today’s financial world. Our team is responsible for developing models and methodologies to calculate and optimize initial margins of OTC financial derivatives portfolios. Those portfolios contain derivative transactions in all asset classes, in particular in interest rates, credit, emerging markets, FX, equities, mortgage, and commodities. Furthermore, initial margin is becoming an important component of the firm’s balance sheet, collateral and regulatory capital optimization.

Key responsibilities:

• Identify the sources of major market risks of OTC derivatives, and capture them in the margin methodologies.
• Provide daily support to business to explain large changes of margin numbers to clients, and investigate any production issues promptly.
• Develop new models to expand product coverage and market features. Develop analytic utility tools for traders and quants.
• Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.)
• Prepare technical reports for senior management, business and risk management functions, and for regulators

Skills required:

• Strong analytic and quantitative skills, in particular in statistics and Extreme Value Theory
• Strong programming skills in C++, Python, R
• Experience of financial derivative’s pricing and risk modeling
• Postgraduate degree in Mathematics, Physics, Finance or Computer science
• 6-10 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector.

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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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