The VP Quantitative Analyst will join the Spread Products Credit Quant Team in New York, playing a crucial role in the firm's business expansion. This position focuses on developing sophisticated models and implementing them within a C++ library to enhance trading capabilities. The analyst will collaborate with various teams to deliver quantitative solutions and provide expert support on credit contingent securities. Additionally, the role involves ensuring compliance with regulatory requirements and maintaining high standards in model testing and validation.

• A Master’s degree or higher in a quantitative field such as Mathematics, Physics, Financial Engineering, or Computer Science is preferred.
• 4-5 years of experience in a comparable quantitative modeling or analytics role, ideally focused on Fixed Income Products and Markets.
• Expert-level programming skills in C++ for a production environment.
• Strong proficiency in Python for analytics, tooling, and data analysis.
• Deep understanding of probability theory, stochastic calculus, and numerical methods used to evaluate complex financial instruments.
• Solid foundation in software design principles and best practices.
• Demonstrable knowledge of fixed income markets, products, and conventions as well as quantitative methods.
• Consistently demonstrates clear and concise written and verbal communication skills.

• Design, develop, and implement sophisticated mathematical models for credit contingent securities and numerical methods.
• Implement and maintain robust and efficient numerical methods for pricing, valuation, and risk management within the existing C++ quantitative library.
• Enhance and maintain the analytics infrastructure, ensuring the high performance, accuracy, and scalability of all models.
• Collaborate closely with trading, structuring, and technology teams to understand business requirements and deliver cutting-edge quantitative solutions.
• Provide expert quantitative support to front-office teams on credit contingent securities and structures.
• Design and maintain Python-based tools and solutions to empower traders with new trade pricing, scenario analysis, and risk management capabilities.
• Conduct thorough model testing, validation, and documentation to meet rigorous internal standards and regulatory requirements.
• Work in close partnership with control functions such as Financial Control, Compliance, Model Validation, Market and Credit Risk, and Audit to ensure an appropriate governance and control infrastructure.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients, and assets.
• Drive compliance with applicable laws, rules, and regulations, adhering to all policies and applying sound ethical judgment.

• Citi offers a comprehensive benefits package including competitive pay, stock programs, healthcare coverage, retirement plans, paid time off, parental leave, and programs supporting employee wellbeing and professional development.