Citigroup Global Markets Inc. seeks a Systematic Quantitative Analyst - Director for its New York, New York location.

Duties: Build algorithms for the live pricing of fixed income instruments. Build trade execution algorithms. Develop automated and semi-automated quantitative strategies used by trading professionals to price and quote fixed-income instruments for clients. Build configure and use yield curves to price fixed-income instruments such as bonds, swaps, futures, forward rate agreements (FRAs). Assess the performance of the above models by running back-tests and simulations, and create reports to monitor ongoing performance. Research, implement and maintain predictors for various financial quantities involved in trading (prices, volumes, volatility, bid-ask spreads). Calibrate and assess the quality of in-house built and third-party statistical and machine-learning predictors. Develop success metrics for predictors and implement reports for monitoring their performanc...