FX Quantitative Analyst; Vice President

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

FX Options Quantitative Analyst is a strategic professional within the Markets Quantitative Analysis (MQA) department with a specialized focus on FX Options modelling. This role contributes to directional strategy by applying deep technical expertise in quantitative modelling, particularly for FX and interest rate products. The ideal candidate will have several years of experience in quantitative model development, demonstrating proficiency in C++ programming and a working knowledge of Python for analytical tasks.

This position demands strong analytical capabilities, the ability to communicate complex technical concepts effectively, and the capacity to influence colleagues and stakeholders across the organization. The individual will have a significant impact on the quantitative risk assessment and model integrity within the FX Options business.

• Develop, enhance, and validate quantitative models and methodologies, specifically for measuring and analyzing market risk in FX Options, including exotic products. This encompasses model development, independent validation and ongoing performance evaluation.
• Manage model risk across the model life‑cycle, including model validation, ongoing performance evaluation and annual model reviews for FX Options models.
• Produce advanced analytics and reporting to support risk management for Citi’s FX Options operations.
• Translate complex business requirements and intricate financial concepts into robust programming and data criteria, conducting thorough system and operational research to model expected results.
• Develop and enhance high-performance analytic engines for FX Options product lines, primarily utilizing C++.
• Communicate complex quantitative model results and validation findings to diverse audiences, including senior management.
• Conduct thorough analysis and prepare detailed technical documentation for model validation, adhering to regulatory guidelines and industry best practices.
• Provide effective challenge to model assumptions, mathematical formulation and implementation, specifically in the context of FX Options and interest rate products.
• Assess and quantify model risk due to model limitations, informing stakeholders of their risk profile and contributing to the development of limitation actions.
• Participate in cross‑functional initiatives aimed at solving complex business problems related to quantitative finance.
• Identify opportunities for enhancing existing models and developing new quantitative solutions that yield measurable business results.
• Provide guidance and mentorship to junior quantitative analysts.
• Manage stakeholder interactions with model developers and business owners throughout the model life‑cycle.
• Represent the bank in interactions with regulatory agencies, as required, regarding model validation and risk management practices.
• Present model validation findings and quantitative analysis to senior management and supervisory authorities.
• Contribute to strategic, cross‑functional initiatives within the model risk organization.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm’s reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.

• Relevant experience in quantitative model development within a financial institution, with significant exposure to FX or interest rate products.
• Proficiency in C++ is essential; working knowledge of Python is also required for scripting and analysis.
• Solid understanding of stochastic calculus, numerical methods (e.g., Monte Carlo simulations, finite difference methods) and option pricing theory.
• Demonstrated experience with quantitative…