Citi’s Global Markets business is a leading provider of financial products and services to corporations, governments, and institutional investors around the world. Within this dynamic environment, the Markets Quantitative Analytics team develops and implements advanced quantitative models and analytical tools that drive trading strategies, risk management practices, regulatory compliance, and client solutions. This role sits at the intersection of quantitative modeling, front‑office decision making, and regulatory market structure.

Role Overview

As a Front Office Quantitative Analyst specializing in Initial Margin, you will join a high‑performing team responsible for building and enhancing models and methodologies that calculate and optimize initial margin for OTC derivatives across all major asset classes—including Rates, Credit, FX, Equities, Emerging Markets, Commodities, and Mortgages.

Initial Margin plays a critical role in global financial markets as a key risk‑mitigation and regulatory requirement. It directly affects the firm’s balance sheet usage, collateral efficiency, and regulatory capital optimization. This role offers the opportunity to shape model design, influence trading decisions, and contribute to the stability and competitiveness of Citi’s Markets franchise.

Key Responsibilities

• Identify major market risk drivers of OTC derivatives and translate them accurately into robust margin methodologies.

• Provide daily analytical and production support to Front Office stakeholders, explaining significant margin movements and resolving issues promptly.

• Develop new quantitative models to expand product coverage and incorporate evolving market features, as well as build analytics tools used by traders and quants.

• Design and implement model performance testing frameworks—including backtesting, stress testing, and benchmarking against alternative methodologies.

• Produce high‑quality technical documentation and presentations for senior management, Risk, Front Office, Model Validation, and regulatory bodies.

Qualifications

• Strong analytical and quantitative skills, with expertise in statistics and Extreme Value Theory (EVT).

• Proficiency in programming languages such as C++, Python, and R.

• Extensive experience in OTC derivatives pricing, risk modeling, and market risk frameworks.

• Postgraduate degree (Master's or PhD) in Mathematics, Physics, Finance, Computer Science, or a related quantitative discipline.

• Ability to operate effectively in a fast‑paced environment with evolving regulatory demands.

• Excellent verbal and written communication skills, capable of simplifying complex quantitative concepts for diverse stakeholders.

What Citi Offers

By joining Citi in New York, you will become part of a global institution committed to fostering an inclusive, diverse, and collaborative workplace. We offer:

• Competitive compensation and performance‑based incentives

• Comprehensive medical, retirement, and employee benefit programs

• Hybrid work arrangements (role‑dependent)

• Extensive professional development resources and career mobility opportunities

• A culture that values innovation, learning, and continuous improvement

At Citi, you will be empowered to grow your expertise, make meaningful contributions, and help shape the quantitative models that underpin the firm’s risk management and strategic decisions.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Primary Location:

New York New York United States:

Primary Location Full Time Salary Range:

$175,000.00 - $250,000.00
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Most Relevant Skills:

Please see the requirements listed above.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

Anticipated Posting Close Date:

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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