Python Quantitative Developer, Citi

Citi

Location:
Hungary, Budapest

Category:
IT - Software Development

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Assistant Vice President, Quantitative Developer - The Counterparty Credit Risk Quant Development Team, a key group within the 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:

Development and maintenance of critical quant infrastructure, databases, and productivity tools
Contributing to the development infrastructure of the in-house model libraries
Contributing to the development and maintenance of distributed computing, testing infrastructure, and connected web-based interfaces
Participating in general efficiency improvement and optimization efforts within the analytical libraries
Collaborating with IT teams to integrate analytic libraries
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:

Prior relevant experience in a Quantitative Developer role or alternative Python development experience
Proficiency in Python programming, a proven track record of Python projects, and testing experience with pytest
Proficiency in web development with React is a significant advantage
A good understanding of distributed infrastructures (MQs, service discovery, AsyncIO, SQL, Elastic Search, MongoDB) is an advantage
Strong analytical and problem-solving skills are an advantage
An understanding of derivatives pricing, risk, and exposure calculation concepts is an advantage
Familiarity with Counterparty Credit Risk (CCR) calculations, including Basel IMM, Potential Future Exposure (PFE), and CVA methodologies, is an advantage
Experience with calculation grids and grid computing concepts is an advantage
Hands-on experience with Linux commands and shell is an advantage
Knowledge of Equity derivatives pricing, including concepts like stochastic volatility models, variance swaps, and basic exotic structures, is a plus
Exposure to Regulatory-based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is a plus
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
BSc / MSc in Software Engineering, Computer Science, Natural Sciences, or Economics

Nice to have:

Proficiency in web development with React
Understanding of distributed infrastructures (MQs, service discovery, AsyncIO, SQL, Elastic Search, MongoDB)
Knowledge of Equity derivatives pricing, including concepts like stochastic volatility models, variance swaps, and basic exotic structures
Exposure to Regulatory-based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR

Additional Information:

Job Posted:
November 07, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Python Quantitative Developer