Job Information
Citigroup Global Markets Inc. Index Analyst in New York, New York
Citigroup Global Markets Inc. seeks an Index Analyst for its New York, NY location.Duties: Perform quantitative analysis for the Citi Research and Equity Unit. Create and maintain Excel spreadsheets to enable index calculation and enhance controls. Onboard new indices, including back-testing, and incorporate new processes into existing calculation frameworks. Calculate index levels and weights in accordance with index condition documents. Develop and run daily reports for internal and external parties, including Citi’s internal trading and structuring functions, clients, and calculation agents. Mathematical Finance knowledge is used to create statistical models and equations. Develop models and perform daily calculations using Python programming. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.Requirements: Bachelor’s degree, or foreign equivalent, in Finance, Mathematics, Statistics, Computer Science, or a related field, and three (3) years of experience in the job offered or in a related occupation providing quantitative analysis within the financial industry. Three (3) years of experience must include: Identifying and resolving data-related issues with Python (using PyCharm or Spyder), SQL (using scripts or MS SQL Server Management Studio), REST APIs, and MS Excel (using addins); Overseeing periodic market data imports from various sources including Bloomberg and Refinitiv; Using MS Excel and Python to develop client reports, including current calculation details and bespoke historical analysis; Using financial instruments and investing strategies to implement index calculation models meeting client and business requirements; Performing Valuation of Swaps/Swaptions using SABR Model; Conducting Option Surface calibration and Implied Vol calibration using Brent’s method and implementing in python; and Conducting Portfolio Performance Attribution and Risk Decomposition. In the alternative, employer will accept a Master’s degree and one (1) year of experience. Employer will accept pre- or post- Master’s degree experience. Salary range: $160,000.00 to $160,000.00/yr. 40 hrs./wk.
Minimum Salary: 160000.00 Maximum Salary: 160000.00 Salary Unit: Yearly