Quantitative Analyst – Commodities, VP

Overview

As a Quantitative Analyst in the Market Quantitative Analysis team in London, you will develop analytics libraries and pricing/risk models for the commodities front office. You’ll work closely with traders, structurers, and technology to implement advanced quantitative methods and GPU-accelerated solutions. Governance, controls, and cross-functional collaboration ensure robust risk-aware decision making. This is a hands-on role shaping pricing and risk analytics for a diverse commodity portfolio at Citi.

Responsibilities

• Develop analytics libraries for pricing and risk management
• Create and implement quantitative models for trading using a range of mathematical and CS methods, including hardware acceleration
• Build pricing models using numerical techniques such as Monte Carlo methods and PDE solvers
• Collaborate with Traders, Structurers, and IT to deliver models and analytics
• Work with control functions (Legal, Compliance, Market and Credit Risk, Audit, Finance) to ensure governance
• Assess risk/reward of transactions and promote responsible decision making aligned with Citi’s reputation
• Follow Citi’s Code of Conduct and compliance plans, ensuring team-wide understanding
• Maintain necessary registrations/licenses for the role
• Escalate, manage, and report control issues with transparency to safeguard Citigroup and clients

Key requirements

• Experience in a comparable quantitative modelling or analytics role in financial sector
• Strong technical/programming skills; exposure to Market Data; statistics and probability based calculations; use of probability theory for risk of complex instruments; software design
• Product knowledge, investments, and quantitative methods
• Clear and concise written and verbal communication skills
• Master, PhD, or equivalent degree

• clear and concise communication
• collaboration across teams
• risk-aware decision making
• C++
• Python
• JavaScript

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