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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 exposure to the full model lifecycle 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 experience, and analytical skills required.
- Other info: Dynamic team environment with excellent career growth opportunities.
The predicted salary is between 36000 - 60000 £ per year.
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: Citigroup Inc.
Contact Detail:
Citigroup Inc. 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 employees at Citi or in the Quantitative Development field. A friendly chat can give you insider info and maybe even a referral, which can really boost your chances.
✨Tip Number 2
Prepare for technical interviews by brushing up on your C++, Python, and quantitative skills. Practice coding challenges and be ready to discuss your past projects in detail. We want to see your problem-solving skills in action!
✨Tip Number 3
Showcase your passion for quantitative development! During interviews, share your thoughts on recent trends in derivatives risk and any innovative ideas you have. This will help us see your enthusiasm and creativity.
✨Tip Number 4
Don’t forget to apply through our website! It’s the best way to ensure your application gets seen. Plus, it shows you’re serious about joining our team at Citi.
We think you need these skills to ace Quantitative Developer, Counterparty Credit Risk, AVP
Some tips for your application 🫡
Show Off Your Skills: Make sure to highlight your experience with C++, Python, and any other relevant technologies in your application. We want to see how your skills align with the role, so don’t hold back!
Be Detail-Oriented: Given the meticulous nature of this role, it’s crucial to demonstrate your attention to detail. Use clear examples from your past work that showcase your commitment to accuracy and thoroughness.
Tailor Your Application: Don’t just send a generic application! Tailor your CV and cover letter to reflect the specific requirements mentioned in the job description. This shows us you’re genuinely interested in the position.
Apply Through Our Website: We encourage you to apply directly through our website for the best chance of being noticed. It’s the easiest way for us to keep track of your application and ensure it gets to the right people!
How to prepare for a job interview at Citigroup Inc.
✨Know Your Models
Make sure you have a solid understanding of derivatives pricing and risk concepts. Brush up on the specific models mentioned in the job description, like Basel IMM and PFE. Being able to discuss these 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 past projects. Have examples ready that highlight your experience with model libraries and any relevant technologies you've explored.
✨Understand the Regulatory Landscape
Familiarise yourself with regulatory frameworks related to Counterparty Credit Risk, such as Basel III and FRTB. Being able to articulate how these regulations impact quantitative development will set you apart and show that you’re not just technically skilled but also aware of the broader context.
✨Communicate Clearly
Since excellent communication skills are essential, practice explaining complex concepts in simple terms. Be prepared to discuss your thought process and how you approach problem-solving. This will demonstrate your analytical skills and ability to work effectively in a team.
