D1/PB Quantitative Analyst, Director

D1/PB Quantitative Analyst, Director

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Job Description


  • Develop Python quantitative modules in MQA platform to perform a wide range of operations & analysis, including basket customization, multi index hedge and optimization, collateral optimization, financial resources ( inventory & usage ) allocation, carry calculation, funding optimization, Axe list, performance & PnL monitoring, margin, RWA, balance sheet & CVA calculation,   
  • Develop analytics libraries (C++) used for Total Return Swap pricing, execution and risk-management
  • Design & implement methods to understand client flow, revenue and cost in 360 degree angles, advise business on client strategic decisions. 
  • Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming, machine learning, statistics and probability
  • Collaborate closely with Traders, Structurers, technology professionals an product dev to execute and very often lead the execution of global development plans.
  • Take ownership of projects and drive the renovation of trading strategies and client pitches.
  • Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
  • Build 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 that 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; and ensure that all team members understand the need to do the same
  • 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
  • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.


  • Relevant experience in a comparable quantitative modeling or analytics role, ideally in the prime services, Delta 1 or equities sector
  • Must have technical/programming skills; Python, C++, Exposure to Market Data; Statistics and Probability based calculations; solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
  • Must also possess any level of product knowledge, Investments and Quantitative Methods
  • Consistently demonstrates clear and concise written and verbal communication skills. Able to coordinate and lead projects across regions. Most of the projects will be global and candidate is expected to lead the conversation and project planning.   
  • Leadership skills with ideally previous managerial experience.


  • PhD, Bachelor’s/University degree, Master’s  degree





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