Quantitative Analyst - Interest Rate Derivatives, VP

Are you a strategic and highly skilled Quantitative Analyst with a recognized technical authority in Interest Rate Derivatives? Citi is seeking an experienced professional to join our team, working closely with Trading, Sales, Structuring, and Risk & Control Functions. This pivotal role involves contributing to directional strategy and applying your expertise to pricing model development within our strategic Interest Rate analytics library.

This role is for an Interest Rate Derivatives Quant, reporting directly to the Global Head of Non-Linear Interest Rates Quants. You will be a key contributor to the development of our strategic Interest Rate analytics library, which is essential for supporting pricing and risk management activities across the business. Your work will involve close collaboration with a wide array of internal stakeholders, including trading desks, structurers, sales, and various risk and control functions, ensuring robust and compliant solutions.

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• Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.
  
• Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools. This includes advanced calculus, C++ (including STL), C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/programming, and statistics and probability, potentially incorporating hardware acceleration.
  
• Develop sophisticated pricing models using advanced numerical techniques for valuation, such as Monte Carlo Methods and partial differential equation solvers.
  
• Collaborate closely with Traders, Structurers, and technology professionals to deliver effective solutions.
  
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure.
  
• Contribute to building 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 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, ensuring all team members understand and follow these guidelines.
  
• Adhere to all policies and procedures as defined by your role and maintain all required registrations/licenses within the appropriate timeframe.
  
• Appropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets by driving compliance with applicable laws, rules, and regulations, adhering to Policy, applying sound ethical judgment, and escalating, managing, and reporting control issues with transparency.
  

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• Strong experience in a comparable quantitative modelling or analytics role, ideally within the financial sector.
  
• Expertise with standard rates models (SABR, HJM, Markov functional) and products (Swaptions, CMS, Path-Dependent Exotics).
  
• Excellent technical/programming skills in C++ and Python.
  
• Proficiency in statistics and probability-based calculations, including using probability theory to evaluate risks, solve analytical equations, and design numerical schemes for complex financial instruments.
  
• Strong understanding of software design and principles.
  
• Consistently demonstrates clear and concise written and verbal communication skills.
  
• Master’s or PhD degree in a relevant quantitative subject.
  

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• Recognized Technical Authority: Serve as a recognized technical authority, contributing to directional strategy within your field.
  
• High-Impact Role: Drive pricing model development for Interest Rate Derivatives within a strategic analytics library, directly impacting trading and risk management.
  
• Advanced Quantitative Work: Apply advanced financial mathematics, statistics, probability, and numerical techniques (Monte Carlo, PDE solvers) in a dynamic Front Office environment.
  
• Cutting-Edge Technology: Utilize and develop solutions with a wide range of programming languages and tools, including C++ and Python, with potential for hardware acceleration.
  
• Extensive Collaboration: Work closely with a diverse group of stakeholders including Trading, Sales, Structuring, and various Risk and Control functions.
  
• Career Growth: This strategic position offers significant opportunities for professional development and advancement within Citi's global Markets Quantitative Analysis (MQA) team.
  

If you are a highly motivated Quantitative Analyst with strong expertise in Interest Rate Derivatives and a passion for developing robust pricing models, we encourage you to apply.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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