Fixed Income Beta and ETF Quant

London, United Kingdom
09 Dec 2022
23 Dec 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
The Quantitative Analyst is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits. Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.

  • 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
  • Appropriately 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.
  • 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
  • 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.
  • Most importantly the candidate should be creative, entrepreneurial and enjoy taking ownership of a project from start to finish.
  • Candidate should have experience and training in one or more of the following areas: financial engineering, machine learning, portfolio optimization and optimization theory, and/or algo pricing/market making.
  • 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.
  • The candidate must be practically minded - he or she must understand how models generate value for the trading operation, what level of sophistication they should have in order to achieve their goals while remaining simple and easy to implement, and how model performance can be evaluated, both in testing and in production. The position requires both attention to details and the ability to see the "big picture" of the trading operation.
  • 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 ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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