Job Description

Are you a talented and meticulous quantitative developer eager to contribute to cutting-edge analytical models for derivatives risk and exposure? Citi is seeking a Quantitative Developer to join its Counterparty Credit Risk Quant Development Team, a key group within the Markets Quantitative Analysis (MQA) Organization. This dynamic role offers the opportunity to contribute across the entire model lifecycle, from research and development to rigorous testing, documentation, and seamless delivery into the Firm's risk management processes.

Team/Role Overview:

The Counterparty Credit Risk Quant Development Team plays a pivotal role within Citi's MQA Organization, responsible for developing sophisticated analytical models for derivatives risk and exposure calculations firm-wide. This team's scope is broad, encompassing the mathematical derivation of quantitative models, meticulous coding, rigorous testing, comprehensive documentation for formal validation, and continuous support for the delivery and integration of these models into both internal and regulatory risk management frameworks. You will be part of a collaborative environment focused on advancing the quantitative toolbox and optimizing analytical libraries.

What You'll Do:

Contribute to the development and maintenance of in-house C++ and Python model libraries.

Build an internal UI tool for model experimentation and customization.

Assist in advancing the quantitative toolbox by exploring new technologies, algorithms, and numerical techniques. Participate in general efficiency improvement and optimization efforts within the analytical libraries. Collaborate with IT teams to integrate analytic libraries into the Firm's systems. Support the development and maintenance of critical quant infrastructure, databases, and productivity tools.

Assist in the build, testing, and release management of the model libraries.

Contribute to Regulatory and Governance-based projects, particularly those related to Counterparty Credit Risk (CCR) such as Basel IMM, PFE, CVA, and RWA calculations, across a range of asset classes. Perform data analysis and generate regular reports to support quantitative efforts.

What We'll Need From You:

Foundational understanding of derivatives pricing, risk, and exposure calculation concepts.

Experience with working on Python, C++, and TypeScript/JavaScript.

Solid academic background in computer science, mathematical finance, statistics, or a highly quantitative field. Good understanding of probability theory and stochastic calculus. Familiarity with Numerical Analysis and Monte Carlo methods.

Experience developing software, preferably in Windows or Linux environments.

Proficiency in scripting using UNIX Shell (bash, etc.) and Python. Familiarity with Counterparty Credit Risk (CCR) calculations, including Basel IMM, Potential Future Exposure (PFE), and CVA methodologies is a significant advantage. Exposure to Regulatory-based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is a plus. Basic knowledge of Relational Databases is a plus. Exposure to Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch) is a plus. Strong analytical and problem-solving skills. A meticulous and detailed approach, with a commitment to accuracy, is essential. Ability to follow established procedures and operate within guidelines. Excellent verbal and written English communication skills.

Ability to take ownership of tasks and proactively follow up on issues.

Demonstrated ability to work effectively in a team and to adapt to a fast-paced, high-pressure environment.

What We Can Offer You:

Cutting-Edge Analytics:

Contribute to the development of critical analytical models for derivatives risk and exposure across the firm.

Full Model Lifecycle Exposure:

Gain comprehensive experience from mathematical derivation, coding, testing, documentation, to formal validation and delivery support.

Technical Skill Enhancement:

Work with C++, Python, and TypeScript/JavaScript, and explore new technologies, algorithms, and numerical techniques.

Impact on Risk Management:

Play a direct role in supporting the Firm's internal and regulatory risk management processes, particularly for Counterparty Credit Risk.

Collaborative Environment:

Work closely with IT teams, quants, and other stakeholders, fostering a strong team and knowledge-sharing culture.

Career Growth:

Develop expertise in quantitative development, financial modeling, and regulatory frameworks within a leading global financial institution.

If you are a driven Quantitative Developer with a strong academic background and foundational understanding of derivatives, eager to make a significant impact on counterparty credit risk analytics, we encourage you to apply.


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Job Family Group:

Institutional Trading
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Job Family:

Quantitative Analysis
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Time Type:

Full time
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Most Relevant Skills

Please see the requirements listed above.
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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.
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