Vice President, Quantitative Analyst

Citi's Markets Quantitative Analysis (MQA) group is seeking a Vice President, Structured Credit Quantitative Analyst to join a central team that builds the mathematical models and pricing engines powering Citi's structured credit business. In this role, you will serve as a recognized technical authority, working directly with trading desks, structuring teams, and risk management to price, value, and hedge complex instruments including Collateralized Loan Obligations (CLOs), Asset-Backed Securities (ABS), and synthetic securitizations. Your work will directly shape how Citi quantifies risk and makes decisions across one of its most analytically intensive businesses.

Design and implement quantitative analytics libraries and pricing models for structured credit instruments, delivering tools used directly by the trading business for valuation and risk management. Build pricing and valuation solutions using advanced numerical techniques, including Monte Carlo simulation and partial differential equation (PDE) solvers, to model complex financial instruments with precision. Apply a broad range of mathematical disciplines — including advanced calculus, mathematical finance, statistics, and probability — alongside hardware acceleration techniques to develop high-performance quantitative systems. Develop production-ready software using C++, C#, .NET, Java, Python, kdb+, and SQL, applying strong object-oriented design principles to deliver scalable and maintainable solutions. Integrate agentic AI and machine learning techniques into quantitative modeling, research workflows, and automation, adapting these approaches as technology and market conditions evolve. Collaborate with Traders, Structurers, and Technology teams to translate business requirements into robust analytical solutions that meet the demands of a live trading environment. Partner with Legal, Compliance, Market and Credit Risk, Audit, and Finance teams to ensure models and systems operate within a sound governance and control framework. Required Qualifications & Skills Proficiency in numerical methods for financial modeling, specifically Monte Carlo simulation and PDE-based techniques applied to pricing and risk. Advanced programming ability in one or more of the following: C++, Python, Java, C#, or kdb+, with a strong foundation in object-oriented software design. Deep grounding in mathematical finance, probability theory, and statistical methods as applied to derivatives pricing and risk assessment. Ability to communicate complex quantitative concepts clearly to trading, structuring, and risk stakeholders, influencing decisions at a senior level. Sound judgment in assessing the risk and reward of transactions and business decisions, with a commitment to ethical conduct and regulatory compliance. Beneficial Skills & Qualifications Demonstrated expertise in quantitative modeling for structured credit products, with hands-on experience across instruments such as CLOs, ABS, or synthetic securitizations. Familiarity with agentic AI frameworks or applied machine learning techniques in a quantitative finance or trading context. Experience with hardware acceleration methods for high-performance computing in financial applications. Working knowledge of kdb+ or SQL for time-series data management and analysis in a markets environment. Exposure to governance and control processes across functions such as Compliance, Credit Risk, or Audit within a regulated financial institution. ------------------------------------------------------ Job Family Group: Institutional Trading ------------------------------------------------------ Job Family: Quantitative Analysis ------------------------------------------------------ Time Type: Full time ------------------------------------------------------ Primary Location: New York New York United States ------------------------------------------------------ Primary Location Full Time Salary Range: