• Competitive
  • Singapore
  • Permanent, Full time
  • Citibank NA
  • 26 Apr 18

ICG Markets - Commodities Quantitative Analyst

ICG Markets - Commodities Quantitative Analyst

  • Primary Location: Singapore,Singapore,Singapore
  • Education: Doctorate Degree
  • Job Function: Trading
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18024263


Description

We are looking for a Quantitative Analyst to join the Global Commodities Quant Team, within the Markets Quantitative Analysis (MQA) department, to support the Commodities business.
Markets Quantitative Analysis (MQA) is part of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm's positions throughout the Markets' businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation signoff, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firm's books and records systems.
The Commodities Quantitative Analysis team is a global team of quants located on three trading floors worldwide: in London, Houston and Singapore. The team's mandate is to provide quantitative support for the trading, structuring and origination teams in Global Commodities Markets. The main focus of the group includes: pricing methodologies, hedging strategies, risk management and analytics development. The quantitative analysts work closely with trading, structuring, IT, risk management, finance and other control functions to develop a better understanding of Risk and P&L and add value to the business.
Key Responsibilities include:
  • Development of pricing, calibration and hedging methodologies for commodities transactions
  • Implementation of pricing and risk models in the Front-Office Analytics library
  • Development of quantitative investment strategies for the commodities business
  • Building desk tools for P&L, hedging analysis, stress-testing in  Python /Excel/VBA
  • Development and maintenance of the in-house C++ analytics library
  • Work on general efficiency improvements and optimization of the library, including: performance, memory management, GPUs, multi-threading 
  • Working on day-to-day support processes for the business
  • Working on the various Regulatory projects impacting the business, including: Model Risk, CCAR, PAA


Qualifications

  • Strong experience in Commodities  Markets
  • Experience in Numerical Analysis, Monte-Carlo methods, Probability, Stochastic Calculus, Machine Learning
  • Knowledge of Fixed Income Modelling 
  • Fluency in mathematical finance and statistical analysis
  • Experience in programming  using C++, Python, VBA, Kdb
  • Good verbal and written communication skills
  • Ability to work in a team and to work well under pressure in a Front-Office environment
Education Level:
  • PhD in Mathematics, Physics, Engineering or Finance
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