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Exotics Rates Quantitative Analyst / Model Developer - VP

New York City, NY, USA | Citi Private Bank

  • Industry:
    Financial Services
  • Position Type:
    Full-Time
  • Functions:
    Financial Services Professional
    Risk Management
  • Experience:
    3-5 years
Job Description:
126 people have viewed this job

•Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including advanced calculus, mathematical finance/ programming and statistics and probability, C++ including object oriented software design, Python, and etc.

•Develop analytics libraries used for pricing and risk-management

•Develop pricing models using numerical techniques for valuation including Monte Carlo Methods, some discretized numerical algorithms or partial differential equation solvers

•Collaborate closely with Traders, Structurers, and technology professionals.

•Work in close partnership with control functions such as Market Risk, Model Validation Group, Audit, Finance in order to ensure appropriate governance and control infrastructure

•Adhere to all policies and procedures as defined by your role which will be communicated to you

•Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe

Qualifications:

•4-6 years of experience in a comparable quantitative modeling or analytics role, ideally having worked in the similar financial environment

•Must have advanced mathematical background; Stochastic calculus, Statistics and Probability;

understand modern derivative pricing framework developed from no-arbitrage principle;

solve analytical equations and design numerical schemes to provide non-analytical solutions.

•Must have technical/programming skills; C++ is essential, good at python;

•Must also possess good knowledge of some basic products such as swaps, swaptions, caps and floors.

•Consistently demonstrates clear and concise written and verbal communication skills

Education:

•master’s degree in quantitative area such as math, physics, or engineering, PhD is preferred.


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