Head of Passive Investment Quantitative Analysis – Director

Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Job Purpose:

  • Lead a team in developing and implementing optimization routines and electronic market-making models for the fixed income ETF business

Your Responsibilities:

  • Research and implement optimization routines for creation/redemption of ETFs
  • Build electronic market-making models (hedging algorithms, bid-offer models, price predictors, automated pricing models)
  • Analyze performance of market-making operation and issue recommendations for model adjustments and new model development
  • Protect our clients and the franchise through a relentless commitment to control and governance built on the highest standard of personal ethics and responsibility
  • Adhere to and cascade all supervisory training and tools to create a culture of responsibility encompassing our clients, our shareholders and each other
  • Builds talent and teams for Citi by creating a culture of meritocracy and transparency and celebrating excellence, initiative and courage
  • Ability to take initiative and work with desk/IT and the other members of the team
  • New optimization algorithms and pricing algorithms, including short-term microstructure predictors
  • Automation of flow analysis and bid-offer spreads
  • Improvements to hedging and hedge execution algorithms
  • Candidate must be technically strong and understand how to efficiently use the systems available for data analysis

Skills and Qualifications:

  • Extensive experience in statistics or machine learning and in a systematic trading field (execution algorithms/statistical arbitrage/electronic market making)
  • Familiarity with corporate bond and interest rate products and market microstructure
  • Strong programming skills in a scripting language (Python, R, Matlab) and in Java, C# or C++
  • Proficient in database applications (f.ex. KDB) and visualization tools
  • Ability to work with large data-sets
  • M.S. or Ph.D. in mathematics, physics, statistics, operations research, engineering or financial engineering
  • Attention to detail
  • Ability to work on a team and to work well under pressure
  • Strong written and verbal communication skills.

Source: for more information click here.

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Citi is a world-class organization that has been in business for over 200 years and is made up of creative, visionary and entrepreneurial thinkers like you. Here is a place where the best succeed, where opportunities for advancement are open to all, where individual talent is valued and where the courage to always do what’s right is the hallmark of our success. Citi cultivates great minds like yours and here you’ll have tremendous opportunities to grow, learn and make your mark.

Citi’s mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have 200 years of experience helping our clients meet the world’s toughest challenges and embrace its greatest opportunities. We are Citi, the global bank – an institution connecting millions of people across hundreds of countries and cities.We protect people’s savings and help them make the purchases – from everyday transactions to buying a home – that improve the quality of their lives. We advise people on how to invest for future needs, such as their children’s education and their own retirement, and help them buy securities such as stocks and bonds.We work with companies to optimize their daily operations, whether they need working capital, to make payroll or export their goods overseas. By lending to companies large and small, we help them grow, creating jobs and real economic value at home and in communities around the world. We provide financing and support to governments at all levels, so they can build sustainable infrastructure, such as housing, transportation, schools and other vital public works.

Information
  • Specialism Custodians
  • Location New York
  • Address 388 Greenwich Street New York, NY 10013 U.S.A.
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