Job Opportunities for Quantitative Researchers and Developers at Citadel

3/28/2017 8:19:38 AM

Lance Cooper

Established in 1990, Citadel is a leading global financial institution with a diverse business platform built on a foundation of world-class talent, technology and infrastructure. From proven asset management strategies to a strong capital markets platform, Citadel converts opportunity into results. Citadel operates in the world’s major financial centers including Chicago, New York, London, Hong Kong, San Francisco, Boston and Dallas. For more information, please visit www.citadelgroup.com.

Business Unit: Global Fixed Income deploys capital globally across a variety of strategies in interest rates, rates volatility, inflation, and foreign exchange. The focus is on liquid products including nominal and inflation-protected government bonds, interest-rate swaps, futures, options, Agency mortgage-backed securities, foreign exchange (FX) and FX options. Global Fixed Income employs a combination of macroeconomic analysis, quantitative modeling, and rigorous portfolio construction to identify and capture opportunities. Each portfolio manager in Global Fixed Income has a disciplined approach to their specific domain, and the team jointly identifies potential investments across these products and regions through a collaborative investment process.

Citadel is advertising two positions:

(1). The Role: Quantitative Researcher for Global Fixed Income in our New York Office, reporting to the Head of Quantitative Research for Global Fixed Income, who is also based in New York.

Larger on-going projects and key deliverables:

• Development of core analytics for proprietary trading in linear rates relative value, including: advanced yield curve construction and methods; relative value indicators for liquid fixed income products; advanced risk measurements and factor analysis on fixed income portfolios

• Quantitative Portfolio Analytics including Portfolio Risk and Stress scenarios in fixed income markets

• Development of global market monitoring and trading tools in liquid fixed income: Leverage real time data feeds to present traders with user-friendly live views of the relevant fixed income markets (quoted and derived); Development of trade opportunity monitoring tools for bonds, futures, swaps, options and inflation products; Intra-Sovereign and Sovereign vs Sovereign bond RV, nominal bonds and linkers

• Research and automation of discretionary strategies in linear rates trading: Bond Futures RV across global markets; Swap RV based on yield curve factor models across LIBOR, LIBOR basis and OIS; Research into intraday trading strategies across USD and EUR fixed income markets

• Historical and model based analysis & ranking of trade ideas in liquid fixed income

Background / Experience:

• Technical education (master’s or PhD level) in one of math (theoretical or applied), physics (theoretical or applied), computer science, electrical engineering or similar Skills:

• (Required) Programming experience in scripting (e.g. Python, Perl, Ruby, Smalltalk, etc) and compiled languages (C++ for Windows or Linux)

• (Required) Commitment to excellence and a strong attention to detail

• (Required) Highly motivated with a desire to work in a hands-on collaborative environment

• (Desirable) Reading or coursework in financial modeling skills

• (Desirable) time series analysis / data mining skills

• (Desirable) Proficiency in Microsoft Excel

 

(2).The Role:  Quantitative Developer for Global Fixed Income

The candidate will be part of the Global Fixed Income IT team, which is responsible for development of the Global Fixed Income Pricing, Trading and Risk system (Valuation, Risk, PnL Predict, Pnl Explain, Scenario Analysis platform) and the integration of our models/analytics, market data, scenarios and trades / positions into this system

Duties and Responsibilities:

• Development of real time trading and risk management systems for proprietary trading in global fixed income

• Portfolio Risk and Stress scenarios for rates trading

• Development of global market monitoring and trading tools in liquid fixed income

• Historical and model based analysis & ranking of trade ideas in liquid fixed income Required Skills

Technical Skills:

• Proficiency / experience in programming and problem solving in compiled languages (C++ for Windows and/or Linux)

• Solid scripting experience (Python preferred but acceptable scripting experience may include Perl, Ruby, Small Talk, etc)

• A good software engineer, who believes in engineering solutions, and recognizes in advance where engineering will pay off versus short cuts

• Experience working in a Windows and/or Linux development environments (experience with both is preferred)

Personal/Communication Skills:

• Outstanding analysis / problem solving skills

• Excellent communication and teamwork skills

• Intellectual curiosity. A strong desire and aptitude to learn and share your ideas / knowledge with colleagues

• Self starter who is comfortable interfacing with a diverse set of people (Traders, Quants, Trading Assistants, etc) • Ability to manage multiple tasks in a demanding and changing environment

Background / Experience:

• Technical education should include an undergraduate and/or advanced computer science, electrical engineering or other relevant applied science with an emphasis in finance, mathematics, or physics

• Prior relevant financial engineering experience

• Proven track record in software design and development

• Solid mathematical foundation, with focus on fixed income or FX analytics and valuation

• Hands on experience with risk measurement / management methodologies

Additional Desired Skills / Experience

• Sybase and C#

• Specific Fixed Income and/or FX domain knowledge / expertise

• Experience working in a trading floor environment

• Product knowledge of any or all of the following: Govt Bonds, Bond Futures (and Options), Inflation Linked Bonds, Interest Rate Swaps, Deposit Futures (and Options), Basis Swaps, Swaptions, OIS Swaps, Caps/Floors, FX Derivatives

• Quantitative aptitude / knowledge of relevant models / analytics for Fixed Income: Yield Curve Bootstrapping techniques, Curve fitting techniques, Principal Component Analysis (Factor Analysis), Normal, Lognormal, SABR, Term Structure Models, etc