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Fixed Income Beta and Etf Quant
3 weeks ago
**Responsibilities**:
- Develop analytics libraries used for pricing and risk-management
- Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#,.NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
- Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
- 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
**Qualifications**:
- 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
- Must have technical/programming skills; C#.Net, SQL and C++ Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
- Must also possess any level of product knowledge, Investments and Quantitative Methods
- Consistently demonstrates clear and concise written and verbal communication skills
**Education**:
- Bachelor’s/University degree or equivalent experience
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
The fixed-income market is undergoing a revolution. Algorithmic market making, ETF technology and portfolio trading have combined to promise greater efficiency and immediacy to bond trading. The ability to process and analyze data through statistical learning, optimization, and data science has opened opportunities for data-centric, cross-asset market-making. The fixed-income beta (FI Beta) quant team is at the forefront of these developments.
The FI Beta quant team within Markets Quantitative Analysis (MQA) is looking for a front-office quant to support the Beta, Electronic and Automated Trading desk in developing statistical models and analytics for fixed-income ETF pricing/market-marking, portfolio pricing/trading, portfolio optimization and hedging as well as carrying out ad hoc data science projects. This trading desk’s participates in all major cash bond product areas, including corporate and EM credit, mortgages, munis, G10 government bonds, local markets and all fixed-income ETFs.
**Key Responsibilities**:
The desk has a start-up culture where originality and entrepreneurship are highly valued. If you enjoy continuous learning in highly a dynamic market and taking full ownership for quant, technical, and business aspect then this role provides a lot of opportunities for to contribute from the ground-up.
Some key responsibilities include:
- Fixed-income ETF pricing and hedging, creation and redemption strategies.
- Executing statistical analysis and performing back-testing.
- Custom portfolio optimization.
- Data visualization, dashboards, adapting process management tools such as Airflow.
- Ad hoc data science and ML projects.
- Development and maintenance of in-house python and C++ analytics libraries.
**Knowledge/Experience/Skills**:
- Strong programming skills in python are required. Proficiency in KDB/q and SQL is a plus.
- Solid experience and/or training in data science and statistical modelling are desired. This includes the full pydata stack, like pandas, scikit-learn, data viz, Airflow, and dashboarding with Dash/Panel/React.
- The desk is closely integrated between traders, quants, and technologists and provides exposure to all aspects of the business. Business intuition and communication skills must be strong.
**Qualifications**:
- B.S. or M.A./M.S. in a quantitative discipline such as computer science, physics, engineering or financial engineering is required.
- **Job Family Group**:
Institutional Trading
- **Job Family**:
Quantitative Analysis
- **Ti
