Quantitative Developer - Counterparty Credit Risk, Citi

Citi

Location:
United Kingdom, London

Category:
IT - Software Development

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

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.

Job Responsibility:

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

Requirements:

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
Strong analytical and problem-solving skills
A meticulous and detailed approach, with a commitment to accuracy
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:

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

What we offer:

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

Additional Information:

Job Posted:
October 03, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Developer - Counterparty Credit Risk