Quantitative Trading & Analysis > Analyst

Business Description

What is Quantitative Analysis?

The financial markets today are undergoing a radical transformation, and quantitative sophistication and technology are becoming an increasingly important part of the business.

Citi Markets & Banking has always been a leader in developing quantitative approaches to customer analysis and trading: In the 1980s, Salomon Brothers developed the first quantitative bond analysis group - our traders then applied the techniques developed by Fixed Income Strategy and Analysis to implement one of the most successful fixed-income proprietary trading operations.

Quantitative Analysis
The role of the Fixed Income Strategy and Analysis department is very simple: to convey quantitative ideas to our clients and traders. We accomplish this by evaluating debt securities and broad asset classes, combining our deep market knowledge with our strength in mathematical analysis and modeling. Fixed Income Strategy and Analysis has a long and respected history here. We continue to leverage our reputation and experience by combining our skills with the global reach and resources of Citi to give us, and our clients, a distinct and insightful perspective of the markets. Part of that involves attracting and retaining the most highly trained and talented people in the world.

We live in an information age, and nowhere is this more evident than in the investment and finance industry. We play a vital role in Citi Markets and Banking because of the information we provide and the skills we possess. Our unique perspective on market dynamics, along with our financial models, risk assessments, and portfolio analyses, provides the basis for myriad corporate, governmental, and institutional investor decisions involving enormous sums of money.

In addition to establishing and maintaining ongoing dialogues with internal and external customers, our responsibilities include the following:

o       Developing theoretical financial models which illustrate how securities might behave in different market environments

o        Making specific trade recommendations

o        Assisting clients in identifying risks and selecting appropriate hedging strategies.

o        Helping clients understand their portfolios so they can restructure them or make performance projections

o        Communicating our views of markets through published reports which are distributed around the world

Day to day, we interact with clients and the sales and trading divisions, making recommendations and helping to trade market securities. We spend a significant amount of time speaking directly with clients to discuss specific ideas, as well as bigger-picture themes. We build tools and models that assist traders and clients in pricing, hedging, and structuring securities, and provide critical information and advice for managing risk throughout the firm.

Quantitative Trading
As products in the financial markets become more sophisticated and proprietary trading risks increase, the successful integration of quantitative methods with trading takes on a greater significance. The rise in prominence of proprietary trading also has led to the development of increasingly sophisticated trading techniques designed to identify market inefficiencies in Statistical Equity Arbitrage, Fixed Income Arbitrage, and Municipal Arbitrage.

Quantitative Trading may include the following:

o       Flow-based derivative trading that uses sophisticated models to commit capital and identify trading opportunities

o        Exotic derivative trading that works with the analysis group to build and refine models capable of pricing securities and managing risk

o        Trading-based analysis that builds real-time trading algorithms to commit capital in electronic markets and identify proprietary trading opportunitiesA trader must be able to integrate mathematical models, the market trading environment, and trading technology to excel. The growth of quantitative trading also means that many of the models and computational techniques are in their infancy, which gives aspiring individuals the opportunity to push the envelope of finance through innovation.

 

What service do we provide our clients?
The role of the Fixed Income Strategy and Analysis department is largely defined by its relationship to the large customer base. We devote a lot of time to client interaction, fulfilling their needs for investment ideas, portfolio analysis, and financial tools. Our clients rely on us for detailed analysis of their positions and opportunities in finance, and our service to them could be as simple as a trade idea or as complex as a personalized financial model to define pricing, hedging, and structuring solutions. You can therefore contribute to the success of the department with a mix of both personalized and analytical support.

What products/groups do we cover?
Structurally, Fixed Income Strategy and Analysis is built around product groups. This allows us, and you, to specialize in a particular area, developing an area of expertise that divisions throughout the firm will come to rely on. At the same time, we encourage analysts to cultivate interests in other areas within fixed income and to collaborate with colleagues in various asset classes to develop innovative ideas and gain new perspectives on their own product.

Quantitative traders are primarily focused on providing capital and managing risk for customer trading desks such as Mortgages, Fixed Income, Equity, Foreign Exchange (FX), and Credit Derivatives.

Roles of an Analyst

Roles that an Analyst may undertake:

As an Analyst, your biggest job is to learn from the desk you are working on. You will be expected to come away from the year with a solid understanding of the product and market in which your desk operates. You will be able to learn about markets through daily responsibilities that include:

• Market analysis for our traders and customers (as an example: running regressions on historical data)
• Creating presentations about our different products
• Helping to teach our customers what is available for their investing practice
• Creating models for analyzing both the products we have created and the ones we are still developing

The municipal derivatives desk is a new area within the municipal department that can truly boast a meritocratic environment. The diverse set of employees come from many different areas in the firm, as well as many that have joined out of the sales and trading program. New ideas are encouraged and supported in all members of the desk, regardless of the amount of time that they have worked here. There is a significant focus on learning, as most employees are new to this specific derivatives area and constantly seek each other's opinions about the market and its products. Above all, we strive to be the best and foster our environment accordingly, with incredible enthusiasm and support for our colleagues and their ideas. 

Day in the Life of Analyst
 

7:15-7:45am	I run the morning graph packs, which are updates of the market sent out to our customers and internal contacts in Citi. Each Analyst that has spent time on this desk has contributed to the automation of this task, which has, as a result, been reduced to a 20-minute process.
7:45-8:15am	Respond to customer requests in my e-mail inbox that have come in since the previous night.
8:15-12:00pm	In the morning, I work on ongoing projects while simultaneously responding to immediate customer needs (Streamlining a customer report, running a historical/spot analysis on Municipal ratios, preparing customized analysis on the Muni market for the sales/trading force).
12:00pm	I try to go with a friend from my desk to grab lunch and bring it back to the desk (since it's a trading floor, we need to be accessible to each other and our clients); most of my colleagues will put in for a delivery from a local restaurant.
12:15pm - 4:30pm	In the afternoon, I will continue with any ongoing projects. During this time, we have also periodically scheduled internal presentations for ongoing education in the municipal market and its evolving products.
4:30pm	At the end of the day, I'll go over what happened in the market with the sales and trading force and create an end-of-day summary for our entire derivatives desk, including the daily profit/loss summary.
6:00pm	I usually leave by 6pm unless there are outstanding projects with pressing deadlines.

Quantitative Analysis...In simplest terms

Our group implements different models that forecast the progression of interest rates. After calibrating to current markets and obtaining future rates, we can then price interest rate products. This allows traders to confidently buy and sell these different products and create markets. The models can also help traders hedge, or protect, them from losses that may be caused by changing interest rate dynamics. It is our responsibility to constantly ensure the models we use are as advanced and accurate as possible.

Roles that an Analyst may undertake:
There are many interesting projects an Analyst in my group may undertake. Some projects included:

• Extending the pricing library
• Investigating model and market pricing differences
• Structuring trades using our proprietary scripting language
• For the traders, I have made pricers and analysis tools and have generated risk numbers for their books. In order to complete these tasks, I had to understand both the interest rate models and the interest rate products. Adding to the model requires knowledge of C++ and building analysis tools utilizes VBA.

The Interest Rate Derivatives Research Group works with the volatility, exotics, swaps, and municipal derivatives trading desks. We primarily focus on developing and implementing term-structure models to price, structure, and hedge different interest rate products. As an Analyst in this modeling group, you will work closely with both the research members and traders to extend the applications of these models. Not only will you be required to understand the products that are traded each day, but also you will need to understand how the prices and risk values are generated. This an exciting place to learn two sides of the bank.

Our Programs

Full Time Analyst 

Full Time Analyst Training begins each year in early July. Following three weeks of orientation and classroom training with the Sales & Trading class, Analysts attend a 1-day seminar, which introduces them to the Fixed Income Strategy and Analytics Department and provides them with basic Yield Book Training. Analysts also attend classes to become licensed for their Series 7, 63, 55 and 3 registrations. In addition, they continue to receive on-going training in the form of seminars, which provide them with detailed descriptions of the Fixed Income Product areas.

Analysts in the Quantitative Trading and Analysis Program spend one year in a Fixed Income Analysis role, and one year in a Quantitative Trading role. While most Analysts will spend the first year of the two-year program in Fixed Income Analysis and are placed directly after Training, there is the possibility of spending the first year in a Quantitative Trading role, in which case Analysts rotate for one to two weeks before placement is determined. As an Analysis Analyst, in either Fixed Income Strategy and Analytics or Equity Derivatives Analysis, you will spend the year learning to develop strategies for investing, hedging, allocating assets and capital raising. There is a wide variety of tasks that are required of an Analyst, ranging from creating theoretical models for securities valuation, making client presentations, structuring portfolios, formulating strategic investment recommendations and analyzing returns for various bond market sectors.

As a Trading Analyst, you will work in Fixed Income, Equity, or Municipal Derivatives trading. In this role, an Analyst will work alongside trading professionals and assist in making markets in derivative instruments for our institutional client base, creating and monitoring risk management systems, and contributing to the overall management of the trading desk's portfolio.

Summer Analyst

The Quantitative Trading & Analysis Summer Analyst works with both Sales & Trading and Analysis to help Citi clients quantify and implement investment, capital raising, hedging, and asset allocation strategies. This work includes the development of new theoretical models for securities valuation, statistical analysis of data, and the development of customized client presentations.

The Summer Analyst program gives students an introduction to Quantitative Trading & Analysis. Over the course of the ten-week internship, students have an opportunity to learn about trading and research and evaluate their full-time career interests. Each intern is assigned to a mentor and attends weekly research seminars, which provide an overview of the department and various bond markets. Although the program includes formal training, the heart of the program is a research project. This project allows each intern to work directly with a research Analyst to develop an understanding of a specific segment of the bond market and contribute to the research produced by the department.

Examples of possible project topics include the following:

• Modeling financial products such as Mortgage-backed Securities
• Creating a survey of banking and thrift industries
• Developing a system for analyzing data
• Contributing to a bond market strategy publication

Each intern also spends one day a week on either a Fixed Income or Equity quantitative trading desk. In this rotation, an intern will have the opportunity to learn from observing trading professionals who are making markets in derivative instruments for our institutional client base and creating and monitoring risk management systems.

Summer Diaries

Name:  Ashwin Thapar
Group:  CDO Research and Strategy
School:  University of Pennsylvania

Week 1 & 2

It has only been two weeks since work started, but I feel that I have already learned an incredible amount. I was initially worried about the lack of a formal training period, but my group was really helpful and supportive in helping me to get up to speed with my product. CDOs are a pretty complicated and broad ranging asset class but after doing a lot of background reading and persistently getting questions answered by experienced people, I feel like I am starting to really understand them. Everyone in research seems to be really helpful and willing to discuss any questions I have.

I have also really enjoyed meeting the various people in my intern class. Last Friday we had “volunteer day” which was a lot of fun – we spent the morning landscaping a park in West Harlem. It was a great opportunity to spend some more time with, and get to know everyone in my intern class, and I think that we are all going to get along really well together. It was also good to see a different part of the city, as I rarely get a chance to go all the way uptown. I am definitely enjoying being in New York – it is such a big city that I’m sure that even with ten weeks here, I won’t be able to explore it all. Living in an NYU dorm on Greenwich Street has also been an interesting experience. Even though my room is pretty small, I find that I’m rarely there, and the best part is that it is only a 15 minute walk to work!

Week 3 & 4

I have started to work on my first project, which involves automating the creation of a report detailing ratings actions for collateral underlying CDOs. I think I will learn a lot from working on this, and it definitely seems like something that will be useful for my group in the future. It has also given me a chance to do some programming – which is something that I have not had too much experience with in the past – so hopefully I will be able to acquire some new skills too. I have been working pretty closely with the Analyst in my group on this project which is great because I am definitely able to get most of my inquiries answered quickly. He has also ensured that I stay involved with the day-to-day activities of the group. We have calls and meetings with people in different CDO and Structured Credit groups across the bank, on an almost daily basis. This really helps to give insight to the global nature of the firm, and at the same time keeps me constantly updated on developments in our market.

One of the cool aspects of the program is having a junior mentor who has already finished a year in the full time Hybrid Program. We had an event which gave us a chance to get to know all of the mentors, in addition to one-on-one lunches. My mentor was definitely able to offer me great perspective, as someone who had been in my position just two years ago. In general, there seems to be a really collegial atmosphere amongst junior people in research, and we often have informal get-togethers after work. People definitely appear to be happy with the work-life balance in the department.

Week 5 & 6

Although I am continuing to work on my long term project, I feel like I am really integrating well into the CDO Strategy Group. I am regularly given smaller projects by more senior members of the team, including my manager, and even my manager’s boss in London! This has given me a broad exposure to the various aspects of the market that the strategy group needs to focus on, and the opportunity to observe the perspective of senior researchers. It has also given me real experience in working under pressure towards short-term deadlines.

One of the most interesting aspects of the hybrid program is the weekly rotations that we do at different desks on the trading floor. We visit two different desks each week, spending a few hours at each desk that we visit. This is the perfect amount of time to talk to the various people on the desk, and find out about the different roles that they play. Though they are usually extremely busy, traders have a lot of knowledge to share, and any time spent with them is an immeasurable learning experience. It has really given me a feel for the differences in culture across the trading floor, and the sheer number of products that are out there. The insight that I gain from interacting with the traders definitely helps to provide a context for the work that I do on the research desk. I am coming to realize that the rotational element of the program is one of its biggest advantages.

Week 7 & 8

I have finished my first major project, and it is now being used by the group to create weekly reports. It is great to see that all the effort that I put into it culminated in something useful! It is cool that even as an intern, I have done a lot of work that has ended up going to clients. We had an Analyst party on the rooftop of the Maritime hotel yesterday. It was a lot of fun, and we had a great view of the city. It seems that almost every week the program organizes a fun event for us, which gives an opportunity to interact with interns from Capital Markets and Sales & Trading, in addition to those from our program.

We are continuing to have lunchtime seminars twice a week with senior managers from research. In each seminar, the heads of one of the groups from Fixed Income eats lunch with the intern class, and gives us a presentation about their product. I have really enjoyed the seminar series as I have been able to learn about a lot of the products that Fixed Income Research focuses on, as opposed to just that of my own group. It has been a unique opportunity to listen to people that have had a lot of experience in the industry – they really know their stuff. The fundamental understanding of the various products that I gain from the seminars also ensures that I get the most out of my trading rotations. Traders are always happy when they see that you have some understanding of their product. Plus, it is pretty great to get lunch for free twice a week!

Week 9 & 10

I can’t believe that it is my last day of work - the summer has really flown by! Looking back at where I was when I started just 10 weeks ago, I can definitely say that I have learned a lot from this internship. I have really gotten a good feel for the markets, and a much better understanding of the various products and functions within the Capital Markets division at Citi. I was fortunate to be working with a product that has seen a lot of activity in my time here. With all the turmoil that was happening in the structured credit market, there were always a lot of interesting developments in the market to keep track of. Especially due to the broad range of asset classes that go into CDOs, almost any kind of financial news ends up having some sort of implications for my product.

One of my favorite parts of the program was the distinguished speaker series. This was a series of lectures given by senior management of the firm, including Chuck Prince, Michael Klein, and Tom Maheras. It was great to get the perspective of people who had been in the industry for so long, and enabled me to gain insight to the overall direction and vision of the firm.

Who we are looking for

For this program, we hire talented individuals who will be able to develop innovative assessments of opportunities in the markets and effectively communicate information and ideas. Ideally candidates will have a degree in a quantitative field such as Computer Science, Economics, Engineering, Finance, Mathematics, Operations Research, Physics, or Statistics. In addition, the candidate should have strong programming skills (C/C++/Java/Unix preferable), a high level of interpersonal skills, and a passionate interest in learning about financial markets. At the end of two years, the successful Analyst will be eligible for either the Associate Sales & Trading Program or the Associate Fixed Income Quantitative Analysis Program.

Recruitment Process

Full Time Analyst

We begin the formal Full Time recruiting process in early September in the form of an on-campus presentation. All students are invited to attend to learn more about the culture, the business and the people at Citi. Following that, job descriptions are posted through university career centers. After all resumes have been collected, a closed, targeted list of first round candidates is compiled. First round interviews take place on campus in September/October, or in our New York offices. Successful interviewees are invited back to our offices for a second round. Second round interviews assess our candidates technical and quantitative skill levels. Candidates are given a Math Test, a Computer Test and Quantitative Test and meet with a number our Analysis professionals. If selected for a final round, candidates will meet with a number of our business representatives from our Trading and Analysis departments. Offers are extended as soon thereafter as possible.

Summer Analyst

Citi begins the formal summer recruiting process in early September in the form of an on-campus presentation. Juniors are invited to attend to learn more about the culture, the business and the people at Citi. Following that, job descriptions are posted through university career centers. After all resumes have been collected, a closed, targeted list of first round candidates is compiled. First round interviews will take place on campus in January or in our New York offices. Successful interviewees are invited back for a Final Round at which they will meet with a number of business representatives from our Analysis Department. Offers are extended as soon thereafter as possible.

Our People

Shelli Faber BS , Operations Research/Industrial Engineering, Cornell University (1992) Director

What do you consider Citi's competitive edge?

Citi's global perspective, ability to recognize and adapt to industry change, dedication to its clients and employees, and commitment to diversity have all helped the firm to become the one of the most profitable Financial Institutions in the world. In addition, by adapting to the changing financial environment and investing in our employees we have ensured that Citi will remain at the forefront of our business.

How would you describe your team and the people you work with?

Citi is filled with some of the most talented people in the industry. Everyone I work with is deeply committed to their area of expertise and I am constantly reminded of the intelligence, dedication, and entreprenurial spirit of the people here. Although a certain level of competition exists, there is an overall atmosphere of cooperation and camaraderie throughout the firm. It is this combination of attributes that makes this a dynamic and exciting place to be and makes me proud to work here.

What other groups do you liaise with regularly within the Firm?

In my current role I have the opportunity to work with many different parts of the firm including other areas within Quantitative Analysis, a majority of the Fixed Income trading desks, Fixed Income sales, various proprietary trading desks, In-business Risk Management, Independent Market Risk Management, Financial Control, Investment Banking, Risk Architecture, Mortgage Analytics, Trade Support, and Technology.

How do you apply your degree to what you're doing now?

I graduated from Cornell University with a degree in Operations Research/Industrial Engineering in 1992. Throughout my 15 years at Citi I have applied and leveraged my quantitative background to help solve internal and external client problems such as portfolio optimization and hedging, writing and beta testing new models, and analyzing the risk of desk's positions. One of the most interesting aspects of my job is visiting clients and communicating the results of our analyses. While my engineering education certainly gave me a strong base of skills, a majority of my knowledge and expertise came from the incredible formal and informal training I have received throughout my career. In Quantitative Analysis I still get to learn new things everyday.

What do you enjoy doing outside work?

Outside of work I enjoy spending time with my husband and two children ages 3 and 6. As a family, we enjoy skiing, swimming and going to the beach. I coach my older son’s soccer team and volunteer at both of their schools in various capacities. In my spare time I also enjoy reading, cooking and exercising.