Treasury Quantitative Researcher

Citadel • New York, New York, United States • 3w ago

Treasury QR Job Description:

The Treasury Quantitative Research team researches and helps set the strategy that guides the firm’s approach on how it manages its balance sheet, liquidity risk, funding risk, and counterparty relationships in addition to developing the models to facilitate bottom-up inventory optimization and cash reinvest. Treasury QR brings analytical rigor and quantitative depth to an opportunity that is critical across both Citadel Securities as well as Citadel Asset Management. Working closely with the Treasury and Treasury Engineering teams, the Treasury QR will build models/optimizations, reporting, and infrastructure to enable more optimal and data-driven decision-making within the Treasury function at Citadel.

Primary Responsibilities:

Develop quantitative models to aid in optimizing the firm’s balance sheet, inventory, and capital globally across all asset classes
Collaborate with global Treasury QR and Treasury Engineering teams on strategic projects
Build and own a variety of optimization models for the firm including global FX optimization, collateral management, and working capital projection
Responsible for technical documentation, model analysis and implementation, data management and model performance monitoring. Contribute to process improvement and automation across all of these activities.
Partner and collaborate with various trading desks for financial analyses and strategic advising as required

Candidate Skills:

Master’s degree or PhD, with strong academic record in Mathematics, Statistics, Finance, or Economics from a top-tier university
5 – 10 years of experience in related areas
Experience in coding Python and interfacing with Databases within an industry setting to build analytical tools and automations
Relevant quantitative research experience from a sophisticated bank, large hedge fund, or asset manager, across Portfolio Finance, Prime Brokerage, or Treasury department
Strong communication skills with an ability to synthesize and explain highly technical and quantitative topics with a variety of stakeholders
Commercial and entrepreneurial mindset

In accordance with applicable law, the base salary range for this role is $200,000 to $300,000. In addition, the employee who fills this role will be eligible to participate in a discretionary incentive compensation program, as well as a wide array of benefit programs, such as medical and life insurance, retirement and tax-free savings plans, and access to other healthcare programs.