11 days old

Commodities Quantitative Analyst -VP

Citigroup
Houston, TX 77007
**Job Purpose/Key responsibilities:**


_We are looking for a_ **_Quantitative Analyst_** _to join the Global Commodities Quant Team, within the Markets Quantitative Analysis (MQA) group, to support the North American power and gas business in Houston,_


**_Markets Quantitative Analysis_** _(MQA) is part of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firms positions throughout the Markets businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation signoff, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firms books and records systems._


**_The Commodities Quantitative Analysis_** _team is a global team of quants located on three trading floors worldwide: in London, Houston and Singapore. The teams mandate is to provide quantitative support for the trading, structuring and origination teams in Global Commodities Markets. The main focus of the group includes: pricing methodologies, hedging strategies, risk management and analytics development. The quantitative analysts work closely with trading, structuring, IT, risk management, finance and other control functions to develop a better understanding of Risk and P&L and add value to the business._


**_Key Responsibilities_** _include:_


_- Supporting our North American power and gas desks_


_- Development of pricing, calibration and hedging methodologies for commodities transactions, both flow and structured products_


_- Implementation of pricing and risk models in the Front-Office Analytics library_


_- Development of quantitative investment strategies for the power and gas business_


_- Building desk tools for P&L, hedging analysis, stress-testing in Python /Excel_


_- Development and maintenance of the in-house C++ analytics library_


_- Work on general efficiency improvements and optimization of the library, including: performance, memory management, GPUs, multi-threading _


_- Working on day-to-day support processes for the business_


_- Working on the various Regulatory projects impacting the business, including: Model Risk, CCAR, PAA _


_The ideal candidate for this position will have some experience of structured transactions in power and gas space, have worked on a major analytics library, and experience working on a trading floor._


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**Job Family Group:**


Institutional Trading

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**Job Family:**


Quantitative Analysis

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**Time Type:**


Full time

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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.


Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Categories

Posted: 2022-05-13 Expires: 2022-06-12

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Commodities Quantitative Analyst -VP

Citigroup
Houston, TX 77007

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