FRM Quantitative Analyst

Job Description

Citigroup Global Markets Inc. seeks a FRM Quantitative Analyst for its New York, New York location.


Duties: Perform statistical, quantitative, and data analysis to assess risk, identify optimization opportunity and improve efficiency. Optimization of capital and risk weighted assets (RWA) relating to Equities, Prime Finance, and Delta one, including Securities Financing Transaction RWA, Derivative RWA and Capital management. Use databases, Data Warehouse and data mining. Facilitate proper rate, liquidity, and capital distributions for secured financing activity and trades to support Citi’s Equities Trading desks. Coordinate monthly and quarterly processes and reconciliations. Provide analysis on trends and variances in RWA to management and stakeholders.  Perform Credit Risk analysis and compliance with Regulator Rules, CCAR, Basel III, ILST and CLAR.  Analyze liquidity reserves, RLAP, GSIB and trading assets.  Analyze Treasury, cash flow and operational flow. Programming in Python, VBA, SQL for framework, UI and automation platform. Develop data on secured financing and general market data analytics including market and regulatory environment commentary and trade ideas to internal clients based on portfolio specifics including Securities lending, Swaps Financing, Repo Financing, intercompany trades, convertible bonds and futures. Apply mathematical modeling techniques to price long collateral on a developed curve and provide macro and tailored financing solutions to internal clients. Transfer Pricing, Tenor Reporting and curve monitoring. Analyze, review, and calculate credit and market RWA projections considering P&L, ROC, ROTCE and Balance Sheet. Provide business level capital attribution to revenue divisions. Manage liquidity and capital costs to maximize rate spreads. Analyze market risk such as Interest Rate Risk, Foreign Exchange Risk, Credit Risk, and Credit Spread Risk using statistics. Perform market data analysis and trading database management; build centralized data warehouse. Conduct stress testing, scenario forecasts, back testing, and sensitivity analysis based on implementation of statistical theories and mathematic models.


Requirements: Requires a Bachelor’s degree or foreign equivalent in Statistics, Finance, Applied Mathematics, or related field and 3 years of experience as a Quantitative Analyst, Research Analyst, Product Control Analyst or related position involving quantitative and data analysis, Data Warehouse, Data Mining, Python and VBA for the financial services industry. 2 years of experience must include: Programming in SQL for framework, UI, automation platform; P&L, Return on Capital, ROTCE, Balance Sheet Ledger and Sub-ledger Summary; Liquidity reserves, RLAP, GSIB, Trading assets; Transfer Pricing, Tenor Reporting, curve monitoring; Treasury, Cash Flow analysis; Operational flow analysis; Equities, Repo, Swaps, Intercompany trades, Convertible Bonds, Futures. 1 year of experience must include: Securities Financing Transaction RWA, Derivative RWA, Capital management; Credit Risk analysis, Regulator Rules, CCAR, Basel III, ILST, CLAR; Stress testing, scenario forecasting, sensitivity analysis, back testing; Model development, performance evaluation and monitoring. Qualified applicants submit resumes referencing job code BL/QA/MT to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program. Direct applicants only.  



Grade :


Time Type :Full time


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