Quantitative Analyst

Job Description

CITI

Quantitative Analyst

Competitive Salary Offered

Office Location: 25 CANADA SQUARE CANARY WHARF, WEST INDIA DOCKS LONDON, E14

The Central Risk team within Markets Quantitative Analysis group designs, implements, and supports the models and systems used to trade the Central Risk equity portfolio. As part of the front office, the team supports the trading business in all quantitative aspects relating to Equities Central Risk book. This position is for an AVP level Quantitative Analyst to join the team and work on the algorithmic portfolio management system used to manage the Central Risk book.
Responsibilities:

The candidate will be part of the Equities Central Risk Quant team. The candidate will work closely with equity traders to develop tools, models, and risk measures. This candidate will contribute significantly to the development and enhancement of the algorithmic portfolio management system used to balance the risk, transaction costs, and expected return of the Central Risk trading book on a regional and global basis. The candidate will be very closely involved with the trading desk and enhance their businesses via the strategic development of the modeling, risk, and trading infrastructure.

A successful candidate will have prior experience building trading and risk management platforms, pre-, intra-, and post-trade analytics tools, and will also possess familiarity with execution algorithms. A working knowledge of market microstructure and algorithmic trading strategies is a plus. On a day-to-day basis, the role involves analyzing historical data, building mathematical models, and running back-tests and simulations using available internal and external trade, quote, and execution data sets. A substantial amount of coding is necessary on a daily basis in order to programmatically analyze, test, and implement models. The candidate will work with a team consisting of traders, quantitative analysts, and technologists. A degree in science, engineering or mathematics is required, a master’s or PhD is a plus.

Qualifications:

• Strong background in mathematical finance and statistical analysis is required.
• At least two years of experience in the quantitative aspects of algorithmic trading is required with preference given to those with direct experience in Equities and the automated management of portfolio risk.
• Strong technical programming (C++, Python, Q/KDB).
• Knowledge of risk models and statistical analysis and portfolio management.
• Track record in delivering production projects.
• Show keen interest in the financial markets.
• Strong team work capability.
• Consistently demonstrates clear and concise written and verbal communication skills
• Education:
• PhD/ Masters in Maths / Physics / Statistics or related subjects

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Closing Date: 14th January 2020

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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