Citibank, N.A. seeks a Trader for its New York, New York location.
Duties: Develop and apply mathematical and statistical theory and methods to collect, organize, interpret, and summarize numerical data to perform pricing of Credit Value Adjustment (CVA) and Funding Value (FVA) and other Value Adjustments (XVAs) for Rates and Currency derivatives executed with clients. Quantify VA risks. Manage risk by executing (credit, FX, rates, and volatility) hedges in market. Calculate capital utilization and return hurdles for deals to be executed. Utilize programming and statistical analysis to develop and implement automated pricing and risk management tools to optimize desk pricing and portfolio management workflow. Organize, manipulate and analyze complex financial and statistical data, operating cash flows, profit margins, returns on invested capital, returns on assets, and compounded annual growth rates, and other variables to project expected exposures, expected credit losses and other measures derived from them. Utilize Python, SQL, and VBA to develop sophisticated computer models and tools to calculate and value different XVAs and their risk, aggregate them from different systems, and make decisions regarding how to hedge them more efficiently. Assist with desk initiatives and projects using quantitative and programing skills. Utilize data mining, programming and computational skills to develop advanced tools to optimize desk daily workflow, including PnL attribution analysis, portfolio risk analysis, and automated analytical reports. Facilitate risk managing by executing credit, foreign exchange, rates, and volatility trade hedges in markets and analyzing complex financial data. Visualize complex data and portfolio exposures using statistical graphs and visualizations. Use probability modeling to calculate correlations between foreign currencies and credit spreads to facilitate pricing and risk managing. Determine expected loss given a default probability and portfolio exposure. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Bachelor’s degree (or foreign equivalent) in Mathematics, Probability, Statistics, Economics, Finance or related quantitative field and 3 years of progressively responsible, post-baccalaureate experience as a Trader, Sales & Trader Program Analyst or related position involving risk management for the financial services industry. 3 years of experience must include: Fixed Income: Credit, Foreign Exchange (FX), and Rates markets and products; Probability modeling. 2 years of experience must include: Programing, mathematics, and data mining; Value Adjustments (XVA) pricing and risk management; Python, SQL, and VBA; Statistical graphics and visualization. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24761587. EO Employer.
Wage Range: $200,000 to $250,000
Job Family Group: Institutional Trading
Job Family: Trading
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Time Type:
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Primary Location:
New York New York United States------------------------------------ ------------------
Primary Location Full Time Salary Range:
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
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Anticipated Posting Close Date:
Aug 13, 2024---------------------------------- --------------------
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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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