Quantitative Developer - Counterparty Credit Risk, Citi

Citi

Location:
United States, New York

Category:
IT - Software Development

Contract Type:
Employment contract

Salary:

150000.00 - 175000.00 USD / Year

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Job Description:

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.

Job Responsibility:

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

Requirements:

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

Nice to have:

Familiarity with Counterparty Credit Risk (CCR) calculations
Exposure to Regulatory-based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR
Basic knowledge of Relational Databases (e.g., Mongo)
Exposure to Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch)

What we offer:

Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages including vacation, sick leave, and paid holidays
Discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
October 17, 2025

Expiration:
November 02, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Quantitative Developer - Counterparty Credit Risk