Quantitative Developer - Counterparty Credit Risk, AVP

The Counterparty Credit Risk Quant Development Team , a key group within Markets Quantitative Analysis Organization , is responsible for developing cutting-edge analytical models for derivatives risk and exposure calculations Firm-wide. The scope of this dynamic role extends from contributing to the research into the mathematical derivation of quantitative models, through meticulous coding, rigorous testing, comprehensive documentation for formal validation and approval, and finally to supporting the delivery of these models for seamless incorporation into the Firm's internal and regulatory risk management processes.

The role will involve tasks such as:

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

* Assisting in advancing the quantitative toolbox by exploring new technologies, algorithms, and numerical techniques.

* Participating in general efficiency improvement and optimization efforts within the analytical libraries.

* Collaborating with IT teams to integrate analytic libraries.

* Supporting the development and maintenance of critical quant infrastructure, databases, and productivity tools.

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

* Contributing 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.

* Performing data analysis and generating regular reports.

Required skills:

* 1-2 years of relevant experience (post-bachelor's degree), ideally within a quantitative development or financial modeling role, or demonstrated strong academic achievement in a relevant field.

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

* Strong interest and foundational knowledge in Equity derivatives pricing, including concepts like stochastic volatility models, variance swaps, and basic exotic structures.

* 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.

* Solid academic background in 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 (ksh, bash, etc.), Python, and basic VBA.

* Basic knowledge of Relational Databases (e.g., Mongo) is a plus.

* Exposure to Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch) is a plus.

* Proficiency in programming using C++ and Python.

* 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.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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