MQA - Quantitative Analyst - Associate/VP

Posted on Dec 14, 2018 by Citi-US

New York, NY 10001
Professional/Technical Services
3 Dec 2018
Annual Salary
Full-Time
  • Primary Location: United States,New York,New York
  • Education: Doctorate Degree
  • Job Function: Trading
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID:


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.

Position Objective
Provide analytical support for structured credit business. This role is a front office quantitative role which is part of credit quantitative analysis team. Candidate would be reporting locally to the head of the credit quantitative analysis in NY and would be working with rest of the team in providing analytical support to structured credit business.

Key Responsibilities
1) Apply machine learning/data science techniques to perform data analysis on factors effecting CLOs
2) Maintain pricing models in C++/Python
3) Provide day to day support for structured credit business

Development Value
1) Learning first hand the CLO business from the desk that is market leader in this space
2) Being able to apply latest techniques in machine learning space to help business
3) Develop good understanding of market structure of cash business

Qualifications

  • Strong at Data Science and Machine learning. The candidate not only understands the models but importantly understands the process and able to come up with measures to evaluate model performance and improve
  • Strong at markets i.e. Quick to learn the economics/dynamics of the markets and have good intuition of the relationship between different factors
  • Good at Bond math and understands the risks
  • Excellent in C++/Python
  • Ph.D or Masters in Mathematics, Physical sciences, engineering, Finance, Statistics fields
MQA - Quantitative Analyst - Associate/VP

Reference: 598336841