Quantitative Analyst, Vice President

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in to Citi’s Markets Quantitative Analysis Team. By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Team/Role Overview Part of Markets Quantitative Analysis, the Equity Quantitative Derivative Team is responsible for the research, development, and maintenance of quantitative models for pricing and risk management, supporting Citi's Equity Derivative franchise. This team is seeking a high-calibre Quantitative Analyst to contribute to model research and to the design and development of a production-grade equity derivatives library. This is a front-office role combining advanced derivatives modelling with C++ development at scale. The Quantitative Analyst is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. What you'll do * Develop analytics libraries used for pricing and risk management * Design, build, and enhance a pricing library for derivative products and ensure robust model integration * Implement and maintain derivative pricing models (e.g. stochastic/local volatility, stochastic correlation, jump), using numerical techniques for valuation including Monte Carlo methods and partial differential equation solvers * Optimise the core codebase to ensure performance, stability, and engineering excellence * Develop and support product payoff scripting frameworks for flexible trade representation * Establish best practices for testing, validation, and model governance * Collaborate closely with Traders, Structurers, and technology professionals * 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 behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency What we’ll need from you * Demonstrated years of experience in a comparable...