Structurer

Citi • New York, NY

3d • $175,000 - $175,000 • Hybrid

About The Position

Citibank, N.A. seeks a Structurer for its New York, New York location.
Duties: Assess, quantify and manage foreign exchange (FX) risk using statistical methods and portfolio theory. Perform Monte Carlo simulations to model the randomness and variability of currency movements under various scenarios. Implement bespoke quantitative algorithms to simulate paths for currency movement trajectories to provide precise risk assessments (VaR) and formulate optimal hedging strategies tailored to client’s unique exposures. Facilitate the development of comprehensive risk models and strategies that quantify and manage individual currency risks, and consolidate the portfolio risk for a balanced approach that minimizes risk and increases cost-effectiveness. Price complex derivatives and exotic structure using pricing models. Leverage stochastic calculus, numerical methods, and programming languages. Coordinate with trading team to ensure the pricing mechanisms reflect the timely market conditions and the pricing assumptions are aligned with trading strategies. Ensure hedging structures meet the financial reporting and transparency requirements based on GAAP and IFRS. Research emerging market product capabilities, local regulations, and market conduct to structure effective FX hedging solutions by analyzing cross-border capital flows, currency control regimes, and localized trading practices. Craft automated tools to incorporate real-time data feeds and advanced financial metrics improving scalability and responsiveness of the models. Translate quantitative findings and risk assessments into actionable insights. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Bachelor’s degree, or foreign equivalent, in Finance, Economics, Mathematics, or related field and 2 years of progressive, post-baccalaureate experience as a Sales & Trading Program Analyst, Salesperson, Structurer, or related position involving foreign exchange risk analysis, derivatives and structures pricing, and hedge accounting in a global financial service institution.
• 2 years of experience must include: Statistical analysis and quantification of foreign exchange risks; Option pricing including foreign exchange derivatives and exotic structures; Hedge accounting regulations and practice standards including U.S. GAAP and IFRS; Knowledge of emerging market foreign exchange capabilities and local regulations; Quantitative analysis for foreign exchange trading strategies development; and Statistical model building for risk quantification and optimization of hedging portfolios.
• Up to 10% domestic travel required.

Responsibilities

• Assess, quantify and manage foreign exchange (FX) risk using statistical methods and portfolio theory.
• Perform Monte Carlo simulations to model the randomness and variability of currency movements under various scenarios.
• Implement bespoke quantitative algorithms to simulate paths for currency movement trajectories to provide precise risk assessments (VaR) and formulate optimal hedging strategies tailored to client’s unique exposures.
• Facilitate the development of comprehensive risk models and strategies that quantify and manage individual currency risks, and consolidate the portfolio risk for a balanced approach that minimizes risk and increases cost-effectiveness.
• Price complex derivatives and exotic structure using pricing models.
• Leverage stochastic calculus, numerical methods, and programming languages.
• Coordinate with trading team to ensure the pricing mechanisms reflect the timely market conditions and the pricing assumptions are aligned with trading strategies.
• Ensure hedging structures meet the financial reporting and transparency requirements based on GAAP and IFRS.
• Research emerging market product capabilities, local regulations, and market conduct to structure effective FX hedging solutions by analyzing cross-border capital flows, currency control regimes, and localized trading practices.
• Craft automated tools to incorporate real-time data feeds and advanced financial metrics improving scalability and responsiveness of the models.
• Translate quantitative findings and risk assessments into actionable insights.

Benefits

• In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level