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- 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.
- 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.
- Other info: Dynamic team environment with excellent career growth opportunities.
The predicted salary is between 36000 - 60000 ÂŁ 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 employer: Citi
Contact Detail:
Citi Recruiting Team
StudySmarter Expert Advice 🤫
We think this is how you could land Quantitative Developer, Counterparty Credit Risk, AVP
✨Tip Number 1
Network like a pro! Reach out to current or former employees at Citi, especially those in the Quantitative Developer role. A friendly chat can give you insider info and maybe even a referral!
✨Tip Number 2
Show off your skills! Prepare a portfolio of your projects, especially those involving C++, Python, or any relevant quantitative models. This will help you stand out during interviews and showcase your hands-on experience.
✨Tip Number 3
Practice makes perfect! Brush up on your knowledge of derivatives pricing and risk calculations. Being able to discuss these concepts confidently will impress interviewers and show you're ready for the role.
✨Tip Number 4
Apply through our website! It’s the best way to ensure your application gets seen. Plus, it shows you’re serious about joining the team at Citi. Don’t miss out on this opportunity!
We think you need these skills to ace Quantitative Developer, Counterparty Credit Risk, AVP
Some tips for your application 🫡
Tailor Your CV: Make sure your CV is tailored to the Quantitative Developer role. Highlight your experience with C++, Python, and any relevant projects that showcase your skills in derivatives pricing and risk calculations.
Craft a Compelling Cover Letter: Your cover letter should tell us why you're passionate about quantitative development and how your background aligns with our needs. Be specific about your experience with model libraries and any regulatory projects you've worked on.
Showcase Your Analytical Skills: In your application, emphasise your analytical and problem-solving skills. Mention any experience you have with Monte Carlo methods or machine learning tools, as these are key to the role.
Apply Through Our Website: We encourage you to apply directly through our website. This ensures your application gets to the right people and allows us to keep track of all candidates efficiently.
How to prepare for a job interview at Citi
✨Know Your Models
Make sure you have a solid understanding of the analytical models related to derivatives risk and exposure. Brush up on concepts like Basel IMM, PFE, and CVA methodologies. Being able to discuss these topics confidently will show your expertise and enthusiasm for the role.
✨Showcase Your Coding Skills
Prepare to demonstrate your proficiency in C++ and Python during the interview. You might be asked to solve coding problems or discuss your previous projects. Bring examples of your work that highlight your coding abilities and problem-solving skills.
✨Understand the Regulatory Landscape
Familiarise yourself with the regulatory frameworks relevant to Counterparty Credit Risk, such as Basel III and FRTB. Being knowledgeable about these regulations will not only impress your interviewers but also show that you understand the broader context of your work.
✨Communicate Clearly
Since excellent verbal and written communication skills are essential for this role, practice explaining complex quantitative concepts in simple terms. This will help you connect with your interviewers and demonstrate your ability to work effectively in a team.
