Job Description

The role is for a Interest Rate Derivatives Quantitative Analyst (Quant). The successful candidate will have experience as front-office (FO) desk quant, with experience in modeling of derivatives, ideally in rates. The role involves end-to-end ownership of model development and delivery, including implementation, model validation and iteration with key stakeholders. Requires strong technical and mathematical skills as they relate to mathematical finance; ability to articulate complex technical issues with a variety of stakeholders; proven ability to work in a rigorous and self-motivated environment and deliver excellent and timely solutions.Responsibilities:Develop analytics libraries used for pricing and risk-managementCollaborate 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 infrastructureAdhere to all policies and procedures as defined by your role which will be communicated to youObtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframeAppropriately 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 behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.