At a Glance
- Tasks: Develop and maintain analytical models for derivatives risk using C++ and Python.
- Company: Join Citi's innovative Counterparty Credit Risk Quant Development Team.
- Benefits: Gain full model lifecycle experience and enhance your technical skills.
- Other info: Dynamic environment with excellent career growth opportunities in a leading global financial institution.
- Why this job: Make a real impact on risk management while collaborating with top professionals.
- Qualifications: Strong foundation in derivatives, programming skills, and analytical mindset required.
The predicted salary is between 36000 - 60000 £ per year.
Join to apply for the Quantitative Developer, Counterparty Credit Risk role at Citi. 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.
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.
Quantitative Developer, Counterparty Credit Risk, AVP in London employer: Citi
Citi is an exceptional employer, offering a dynamic work environment that fosters innovation and collaboration within the Equities Technology team. Employees benefit from cutting-edge technology, opportunities for professional growth, and a culture that values diversity and inclusion. With a focus on high-performance analytics and real-time data solutions, Citi empowers its engineers to make impactful contributions while enjoying a supportive atmosphere in a globally recognized financial institution.
StudySmarter Expert Advice🤫
We think this is how you could land Quantitative Developer, Counterparty Credit Risk, AVP in London
✨Tap into Campus Networks
If you're still in uni, don’t forget to engage with your campus's career services and attend finance-related events. Banks often do presentations and recruitment drives on campus, so put yourself out there and make use of these opportunities to show off your passion for the field.
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Consider pursuing relevant certifications like the CFA or ACCA while you’re job hunting. They not only beef up your CV but also connect you with professional bodies which can lead to networking opportunities and even job openings in banking and financial services.
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Join finance-focused groups on platforms like LinkedIn and engage in discussions. This can really help you stand out from the crowd, allowing potential employers to see your knowledge and interest in industry trends. Plus, you might stumble upon job postings shared exclusively within the group.
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We think you need these skills to ace Quantitative Developer, Counterparty Credit Risk, AVP in London
Some tips for your application 🫡
Show Off Your Numbers!:In the banking and financial services world, quantifiable achievements are key. Make sure your CV highlights your grades in relevant subjects, any financial certifications you hold, and specific projects where you've delivered measurable results. Employers love to see how your skills translate into real-world success.
Tailor Your Cover Letter to the Role:When applying for a full-time position, your cover letter should make a direct connection between your experience and the job description. Don't just state your enthusiasm for finance—dive into how your background in banking or financial analysis sets you apart. Let your passion shine through while being specific about what you can bring to Citi.
Include Relevant Financial Software Experience:If you've worked with financial modelling tools or software like Excel, SAP, or specific analytical tools during your studies or internships, bring that up! Highlighting your proficiency can really make your application pop and show you're ready to hit the ground running in a full-time role.
Research and Reflect:Before hitting that 'apply' button on Citi's website, do a little digging. Look up their recent projects, values, and culture. Reflecting their ethos in your application can make a huge difference and show you’re genuinely interested in being part of the team!
How to prepare for a job interview at Citi
✨Brush Up on Financial Analysis Skills
Make sure you're well-versed in financial concepts and analytical techniques relevant to banking and financial services. Get comfortable with tools like Excel for modelling or financial forecasting, as technical questions in this area are common during interviews with Citi.
✨Prepare for Case Studies
Expect to tackle case studies that demonstrate your problem-solving skills in real-world banking scenarios. Familiarise yourself with the types of problems you might face—think risk assessments or investment evaluations—and be ready to articulate your thought process clearly.
✨Show Your Passion for Finance
Since this is a full-time position, employers at Citi will be keen to see your genuine interest in finance. Be prepared to discuss recent industry trends or news articles that excite you, showcasing your enthusiasm and engagement with the field.
✨Network with Industry Professionals
Before your interview, reach out to current or former Citi employees on platforms like LinkedIn. They'll offer unique insights into the company's culture and the interview process, which can give us a delightful edge in showcasing a good fit for the team.
