• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2018-10-18

MQA - Quantitative Development - Associate/VP

MQA - Quantitative Development - Associate/VP

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Trading
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18056602


Description

About Citi:

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Description:

This role is in a newly created group of around 10 Quantitative developers, who will sit in the trading floor and will implement cross-asset solutions. This is a high-visibility strategic project and comes with a unique opportunity to learn about multiple businesses such as FX, Equities, Credit, Rates, commodities etc. in a single role

Key Responsibilities:

The majority of the work is a green field development of completely new functionality. Work involves implementing front office risks, FRTB, GSST, CCAR and other projects for all the asset classes in Citi. The candidate will work on a variety of projects, designing and implementing code primarily in C++. The work done by the candidate will pave the path of future projects and systems across the firm and will be closely watched by the senior managers across the firm.
The candidate will be exposed to a wide variety of mathematical and computer sciences problems ranging from hardware acceleration to interface design. The candidate will be fully integrated into the front office Quant team and will work in close collaboration with the Traders, Structurers and members of Technology.

Qualifications

• Degree in computer science or a mathematical subject (Math/Physics/Engineering etc).
• Strong background in computer science is required. Significant experience in key languages (C++, C#, Java, Python) is vital (C++ is ideal) and exposure to mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo Methods, PDE solvers…) is preferable.
• Show keen interest in the financial markets.
• Show keen interest in implementation of models and the architecture of model libraries.
• Strong teamwork capability.
• Ability to focus on major projects, and deliver promptly, whilst juggling the day to day requirements that come up.
• Ability to communicate progress and importance of projects to non-technical clients of the Library.
• Front Office development experience is advantageous, particularly those with cross asset Quant Developer experience.