Quantitative Analyst -13068173

Job Description 

Brief Description of the Organization  Citi, the leading global financial services company, has some 200 million customer accounts and does business in more than 100 countries, providing 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, and wealth management. Additional information may be found at www.citigroup.com or www.citi.com.   Description   Citi Quantitative Analyst Competitive salary offer Job Purpose: VP level Quantitative Analyst to join Options Market Marking (OMM) group within Equities MQA and work on the analytics and systems underpinning the RV/ST trading business. Job Background/context: Develops and maintains existing models and designs new models such as demand forecasting models, product migration models. Justify the model assumptions/constraints and assess their impacts to the valuation and risk by performing sensitivity analysis and stress testing on models as required. Validate the implementation of the model in library, risk engines, or trading systems, and writing appraisal reports Key Responsibilities: Develop core analytic capabilities or model libraries, using quantitative, statistical or economic techniques. Collaborate with Trading to research, model, validate and/or implement new quantitative models for new strategies / products. Analyse pricing, risks and performance of market marking portfolios. Produce written documentation for new models. 5- Assist Trading in developing the core Trading platform. Qualifications   Person Specification Knowledge/Experience: Strong background in mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo Methods, PDE solvers…) is required. Proven track experiences in derivatives modeling with specific exposure to market marking businesses is essential. Skills: Strong teamwork capability. Strong technical programming (C++, C sharp). In depth knowledge of derivatives models with particular reference to market marking. Qualifications: PHD/ Master in Maths / Physics / Statistics or related subjects. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience. Competencies: Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success. Closing Date: 31st December 2013     Primary Location : EMEA-United Kingdom Schedule : Full-time Education Level : None Shift : Day Job Employee Status : Regular Travel : No