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
FX Options Quantitative Analyst is a strategic professional within the Markets Quantitative Analysis (MQA) department with a specialized focus on FX Options modelling. This role contributes to directional strategy by applying deep technical expertise in quantitative modelling, particularly for FX and interest rate products. The ideal candidate will have several years of experience in quantitative model development, demonstrating proficiency in C++ programming and a working knowledge of Python for analytical tasks. This position demands strong analytical capabilities, the ability to communicate complex technical concepts effectively, and the capacity to influence colleagues and stakeholders across the organization. The individual will have a significant impact on the quantitative risk assessment and model integrity within the FX Options business.
What you’ll do
- Develops, enhances, and validates quantitative models and methodologies, specifically for measuring and analyzing market risk in FX Options, including exotic products. This encompasses model development, independent validation and ongoing performance evaluation.
- Manages model risk across the model life-cycle, including model validation, ongoing performance evaluation and annual model reviews for FX Options models.
- Produces advanced analytics and reporting to support risk management for Citi’s FX Options operations.
- Translates complex business requirements and intricate financial concepts into robust programming and data criteria, conducting thorough system and operational research to model expected results.
- Develops and enhances high-performance analytic engines for FX Options product lines, primarily utilizing C++.
- Communicates complex quantitative model results and validation findings to diverse audiences, including senior management.
- Conducts thorough analysis and prepares detailed technical documentation for model validation, adhering to regulatory guidelines and industry best practices.
- Provides effective challenge to model assumptions, mathematical formulation, and implementation, specifically in the context of FX Options and interest rate products.
- Assesses and quantifies model risk due to model limitations, informing stakeholders of their risk profile and contributing to the development of limitation actions.
- Participates in cross-functional initiatives aimed at solving complex business problems related to quantitative finance.
- Identifies opportunities for enhancing existing models and developing new quantitative solutions that yield measurable business results.
- Provides guidance and mentorship to junior quantitative analysts.
- Manages stakeholder interactions with model developers and business owners throughout the model life-cycle.
- Represents the bank in interactions with regulatory agencies, as required, regarding model validation and risk management practices.
- Presents model validation findings and quantitative analysis to senior management and supervisory authorities.
- Contributes to strategic, cross-functional initiatives within the model risk organization.
- Appropriately assesses 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
What we’ll need from you
- Relevant experience in quantitative model development within a financial institution, with significant exposure to FX or interest rate products.
- Proficiency in C++ is essential; working knowledge of Python is also required for scripting and analysis.
- Solid understanding of stochastic calculus, numerical methods (e.g. Monte Carlo simulations, finite difference methods) and option pricing theory.
- Demonstrated experience with quantitative modelling for market risk, specifically in FX Options or interest rate derivatives.
- Excellent analytical, problem-solving and critical thinking skills, with the ability to effectively challenge complex models.
- Consistently demonstrates clear and concise written and verbal communication skills, with the ability to articulate complex technical concepts to both technical and non-technical audiences.
- Self-motivated, detail-oriented, and capable of managing multiple projects simultaneously in a fast-paced environment.
- Proven ability to work effectively in a team-oriented environment and manage stakeholder interactions.
- Master’s or PhD in a quantitative discipline (e.g. Financial Engineering, Mathematics, Physics, Computer Science or a related field) is highly preferred. A Bachelor's degree with exceptional relevant experience will also be considered.
What we can offer you
We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.
By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:
- Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
- A discretional annual performance related bonus
- Private medical insurance packages to suit your personal circumstances
- Employee Assistance Program
- Pension Plan
- Paid Parental Leave
- Special discounts for employees, family, and friends
- Access to an array of learning and development resources
Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.
Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.
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Job Family Group:
Risk Management
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Job Family:
Model Development and Analytics
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Time Type:
Full time
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Most Relevant Skills
Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.
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Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.
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