Commodities Quantitative Analyst (Assistant Vice President)

Overview

In this role you work within Citi’s Market Quantitative Analysis team in London to develop and support pricing and risk analytics for the Commodities XVA desk. You’ll collaborate with traders, structurers and tech teams to implement quantitative models and analytics libraries, ensuring governance and controls across the front office. You will apply advanced numerical methods and programming to price complex instruments and manage risk, contributing to responsible finance and firm reputation. This opportunity combines cutting-edge modelling with cross-functional impact in a global trading environment.

Pay / Benefits

• hybrid working model (up to 2 days at home)
• generous holiday allowance starting at 27 days + bank holidays
• discretionary annual bonus
• private medical insurance
• pension plan
• Learning and development resources

Responsibilities

• Develop analytics libraries for pricing and risk management
• Create, implement, and support quantitative models using diverse mathematical and CS methods (including hardware acceleration)
• Develop pricing models via numerical techniques (Monte Carlo, PDE solvers)
• Collaborate with Traders, Structurers and technology professionals
• Work with control functions to ensure governance and controls
• Promote culture of responsible finance, governance, ethics and expense discipline
• Assess risk/reward of transactions and reinforce regulatory/compliance standards
• Adhere to Citi Code of Conduct and supervision plans; obtain necessary registrations/licenses

Key requirements

• Experience in a comparable quantitative modelling or analytics role
• Proficient technical skills: C# .Net, SQL and C++
• Exposure to Market Data; Statistics and Probability based calculations
• Use of probability theory to evaluate risks and solve analytical equations; knowledge of software design
• Product knowledge in Investments and Quantitative Methods
• Strong written and verbal communication skills
• Masters/PhD, or equivalent degree

• clear and concise communication
• cross-functional collaboration
• ethics and governance minded
• C# .Net
• SQL
• C++

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