Quantitative Analyst - Interest Rate Derivatives, Associate Level

Citi is seeking a strategic and highly skilled Quantitative Analyst specializing in Interest Rate Derivatives. This role involves contributing to the development of pricing models and analytics libraries, collaborating with various internal stakeholders to ensure robust and compliant solutions for pricing and risk management activities.ResponsibilitiesDevelop and enhance analytics libraries used for pricing and risk management of Interest Rate DerivativesCreate, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and toolsDevelop sophisticated pricing models using advanced numerical techniques for valuation, such as Monte Carlo Methods and partial differential equation solversCollaborate closely with Traders, Structurers, and technology professionals to deliver effective solutionsWork in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructureContribute to building a culture of responsible finance, good governance and supervision, expense discipline, and ethicsAppropriately assess risk/reward of transactions when making business decisions and ensure all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputationBe familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services, ensuring all team members understand and follow these guidelinesAdhere to all policies and procedures as defined by your role and maintain all required registrations/licenses within the appropriate timeframeAppropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets by driving compliance with applicable laws, rules, and regulations, adhering to Policy, applying sound ethical judgment, and escalating, managing, and reporting control issues with transparencySkillsExperience in a comparable quantitative modelling or analytics role, ideally within the financial sectorExperience with standard rates models (SABR, HJM, Markov functional) and products (Swaptions, CMS, Path-Dependent Exotics)Excellent technical/programming skills in C++ and PythonProficiency in statistics and probability-based calculations, including using probability theory to evaluate risks, solve analytical equations, and design numerical schemes for complex financial instrumentsStrong understanding of software design and principlesConsistently demonstrates clear and concise written and verbal communication skillsMaster's or PhD degree in a relevant quantitative subjectBenefitsMedical, dental & vision coverage401(k)Life, accident, and disability insuranceWellness programsPaid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidaysCompany OverviewCiti's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. It was founded in 1812, and is headquartered in San Antonio, Texas, USA, with a workforce of 10001+ employees. Its website is https://www.citi.com.Company H1B SponsorshipCiti has a track record of offering H1B sponsorships, with 1386 in 2025, 849 in 2024, 1375 in 2023, 1117 in 2022, 876 in 2021, 901 in 2020. Please note that this does not guarantee sponsorship for this specific role.



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