Citi
Quantitative Analyst - Rates Options Desk Quant (Vice President)
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Quantitative Analyst – Interest Rate Derivatives Option Quant
Location: London (Hybrid Model – up to 2 days remote per week) Job Classification: Full-Time Organisational Group: Risk Management Job Family: Model Development and Analytics
About the Role
Citi is looking for a highly skilled Quantitative Analyst specialising in Interest Rate Derivatives to join our global team. This critical role involves developing strategic pricing and risk-management analytics, close collaboration with Trading, Sales, Structuring, and Control functions, and advanced quantum mindset decision-making.
You’ll be a key contributor to our strategic Interest Rate analytics library, essential for supporting pricing, valuation, and robust risk management processes. Your expertise will drive novel market-making tools and risk mitigation strategies.
Role Responsibilities
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Pricing & Risk Analytics Development
- Build and refine analytics libraries to enable scientific precision in pricing and risk management for Interest Rate Derivatives (e.g., options, swaptions, CMS caps/floors).
- Design and implement quantitative models in C++/Python using advanced mathematical techniques, spanning calculus, Monte Carlo simulations, PDE solvers, etc.
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Collaborative Problem-Solving
- Partner with Traders, Structurers, and technology teams to deliver tailored pricing/risk solutions.
- Drive intellectual rigor alongside legal, compliance, market/controller (LCMC)* and auditor teams to ensure adherence to regulatory frameworks and ethical governance.
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Risk & Reputation Management
- Evaluate -risk/reward trade-offs for transactions while reinforcing Citi’s culture of responsible finance and ethical conduct.
- Uphold Citi’s Code of Conduct, Plan of Supervision (GMS), and all applicable fiscal/regulatory policies.
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Analytical Rigour & Compliance
- Represent Citi’s reputation by performing auditable risk analysis at every step.
- Maintain compliance with laws, rules, and controls, escalating issues as necessary.
Key Requirements
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Industry Experience
- Proven expertise in Quants/Analytics roles, preferably in financial services.
- Prioritised background: Derivatives Ark, modelling SABR, HJM, swaptions, and CMS caps.
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Technical Proficiency
- Advanced skills in C++ and Python, grounded in statistics/probability (e.g., Gamma-distributed option methodologies, Monte Carlo techniques).
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Academic Foundation
- PhD or Master’s in Quant finance, applied mathematics, computational modelling.
Why Join Citi?
Be compensated for both finance achievements and personal growth while enjoying:
✅ Workplace:
- Hybrid model (2 remote days) + business casual dress code.
- 27+ days holiday (plus bank holidays), increasing over time.
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Your very own career expert that helps elevate your application to the next level.
✅ Benefits
- Annual PRB (Discretionary).
- Private medical plans, mental wellness support, PAYE pension.
- Parental leave for equitable family support.
- Access to Citi discounts (including tech/retail perks) and expansive learning resources.
✅ Culture
- Diverse values focus: Inclusion, mentorship, independence, and career progression.
- Leadership catering to diverse skill sets while fostering ethical decision-making.
Core Competencies
Strategic Analytics + Member Egidital Fabric
- Analytical rigour (Numerics, SDEs, rare event detection).
- Regulatory/Compliance Daunting.
- Emboldened risk controls enshrined before execution.
Citigroup’s Commitment
Equity/promise: Citigroup provides equal opportunity opportunities, keen to foster diversity across traits including race, disability, military identity.
Use skills: Familiarity with Accessibility at Citi resources is mandatory.
---Garmin CreditGMS: Global Markets & Securities** (Relevant to Risk & Control).*
Manageable Most Goal-Scope(ed) Technologies/Skills
🔹 Standard, Priced Algorithms: Statistical arbitrage. 🔹 Next-Step Business Systems (G techniques fr.) with adaptive trading models. 🔹 Parallel-line Audibility teams to navigate systemic risks. |5-6| Manuals on Govern "Strategy" over strict durations.|
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