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XVA Rates Quantitative Analyst (Hybrid)

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Citi

3mo ago

  • Job
    Full-time
    Mid & Senior Level
  • Data
    Banking & Finance
  • London

AI generated summary

  • You need experience in quantitative modeling, strong C++/Python skills, knowledge of market data, statistics, risk evaluation, and clear communication abilities.
  • You will develop analytics libraries, implement quantitative models, utilize C++ and Python for pricing, assess risk in transactions, and uphold governance and compliance standards.

Requirements

  • Experience in a comparable quantitative modelling, development or analytics role, ideally in the financial sector
  • Must have strong technical/programming skills; C++/python, Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
  • Must also possess any level of product knowledge, Investments and Quantitative Methods
  • Consistently demonstrates clear and concise written and verbal communication skills

Responsibilities

  • Develop analytics libraries used for pricing and risk-management
  • Collaborate closely with quantitative development colleagues.
  • 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, object oriented software design, Python, mathematical finance/ programming and statistics and probability
  • Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
  • Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
  • Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
  • Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
  • Adhere to all policies and procedures as defined by your role which will be communicated to you
  • 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 behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.

FAQs

What is the role of an XVA Rates Quantitative Analyst at Citi?

The role involves developing analytics libraries for pricing and risk management, supporting quantitative models for trading, and collaborating with quantitative development colleagues.

What programming languages are required for this position?

Strong technical skills in C++ and Python are required, as well as exposure to statistical and probability-based calculations.

What types of mathematical techniques will I be expected to use?

You will use numerical techniques for valuation, including Monte Carlo Methods and partial differential equation solvers.

Are there opportunities for personal development and training at Citi?

Yes, Citi provides access to a variety of learning and development resources for employees.

How does Citi promote a positive workplace culture?

Citi is committed to creating a workplace where everyone feels comfortable as their whole self and encourages diverse talent to thrive.

What kind of benefits does Citi offer?

Citi offers a competitive salary, performance-related bonuses, private medical insurance, a generous holiday allowance, and various additional benefits like an Employee Assistance Program and a Pension Plan.

Will I need to adhere to any specific policies in this role?

Yes, you will be required to adhere to Citi’s Code of Conduct and policies related to risk assessment and compliance.

What qualifications are necessary for this position?

Candidates should have experience in a comparable quantitative modeling or analytics role, ideally in the financial sector, alongside knowledge of investments and quantitative methods.

Is this position eligible for any performance-related bonuses?

Yes, there is a discretional annual performance-related bonus included as part of the compensation package.

What is the working model for this position?

The working model is hybrid, with opportunities to work from home up to 2 days per week.

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Citi

Finance
Industry
10,001+
Employees
1998
Founded Year

Mission & Purpose

Citigroup Inc. or Citi is an American multinational investment bank and financial services corporation headquartered in New York City. Citi's operation is to provide financial services that enable growth and economic progress. Core activities are safeguarding assets, lending money, making payments and accessing the capital markets.

Benefits

  • Live Well, Stay Healthy

    Citi provides programs and services for your physical and mental well-being including access to telehealth options, health advocates, confidential counseling and more. Coverage varies by country.

  • Paid parental leave

    We believe all parents deserve time to adjust to parenthood and bond with the newest members of their families. That’s why in early 2020 we began rolling out our expanded Paid Parental Leave Policy to include Citi employees around the world.

  • Save well, for now and your future

    We empower our employees to manage their financial well-being and help them plan for the future.

  • Keep learning

    Citi provides access to an array of learning and development resources to help broaden and deepen your skills and knowledge as your career progresses.

  • Be well, take time off

    We have a variety of programs that help employees balance their work and life, including generous paid time off packages.

  • Support Your Community

    We offer our employees resources and tools to volunteer in the communities in which they live and work. In 2019, Citi employee volunteers contributed more than 1 million volunteer hours around the world.