Quantitative Analyst, Citi

Citi

Location:
United Kingdom, London

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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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 extends from research into mathematical derivation of advanced quantitative models, through meticulous coding, rigorous testing, comprehensive documentation for formal validation and approval, and ultimately delivering models for seamless incorporation into the Firm's internal and regulatory risk management processes.

Job Responsibility:

Leading the development and maintenance of in-house C++ and Python model libraries
Pioneering advancements in quantitative toolbox through development of new technologies, algorithms, and numerical techniques
Driving significant efficiency improvements and optimization within analytical libraries
Collaborating extensively with IT teams to integrate complex analytic libraries into production systems
Overseeing development and maintenance of critical quant infrastructure, databases, and productivity tools
Providing expert support for build, rigorous testing, and release management of model libraries
Engaging actively in Regulatory and Governance-based projects related to Counterparty Credit Risk (CCR)
Performing in-depth data analysis and producing comprehensive regular reports

Requirements:

Demonstrable expertise and proven track record in developing and supporting analytics libraries for pricing, risk, and exposure calculation of complex financial derivatives
Strong preference for candidates with extensive experience in Equity derivatives pricing including stochastic volatility models, variance swaps, correlation products, and exotic structures
Deep familiarity with Counterparty Credit Risk (CCR) calculations including Basel IMM, Potential Future Exposure (PFE), EPE, EAD, and CVA methodologies
Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR
Solid mathematical finance and advanced statistical analysis skills
Profound knowledge of probability theory and stochastic calculus
Extensive familiarity with Numerical Analysis and Monte-Carlo methods
Proven experience developing robust software for Windows and Linux environments
Excellent command of scripting using UNIX Shell (ksh, bash, etc.), Python, and VBA
Exceptional command of programming using modern C++ and Python
Outstanding analytical and complex problem-solving skills
Thorough and detailed approach with commitment to accuracy
Ability to strictly follow procedures and operate within stringent guidelines
Excellent verbal and written English communication skills
Strong ability to take ownership and proactively follow up on issues through to resolution
Demonstrated ability to work effectively in a team-oriented environment and to perform well under pressure

Nice to have:

Knowledge of Relational Databases (e.g., Mongo)
Knowledge/experience with Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch)

What we offer:

Generous holiday allowance starting at 27 days plus bank holidays
Discretional annual performance related bonus
Private medical insurance packages
Employee Assistance Program
Pension Plan
Paid Parental Leave
Special discounts for employees, family, and friends
Access to learning and development resources
Business casual workplace
Hybrid working model (up to 2 days working at home per week)

Additional Information:

Job Posted:
October 10, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Analyst