Senior Quantitative Analyst, Citi

Citi

Location:
Hungary, Budapest

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

The Market Quantitative Analysis (MQA) team is seeking a Quantitative Analyst to join the Counterparty Credit Risk (MQA-CCR) team in Budapest, Hungary. This team plays a critical role in developing and maintaining the end-to-end methodologies required to calculate counterparty credit risk exposures for derivatives, including simulation and pricing across all asset classes. The models developed by MQA-CCR are essential for Basel regulatory capital calculations and internal risk management, directly impacting Citi's financial stability and strategic decisions.

Job Responsibility:

Develop, enhance, and maintain counterparty credit risk models and their underlying analytics library, delivering high-performance, production-quality code
Design and implement robust methodologies, advanced algorithms, and sophisticated diagnostic tools to rigorously test and validate model performance
Interpret complex model outputs and communicate comprehensive insights to internal stakeholders and external clients
Collaborate closely with risk quantitative analysts, technology professionals, and structurers to integrate models and solutions effectively.

Requirements:

Strong technical and programming skills in C++ and Python, with experience in developing complex numerical algorithms or large-scale data processing systems
Solid understanding of statistical and mathematical modeling techniques, including numerical methods, stochastic calculus, Monte-Carlo techniques and statistical inference
Ability to independently problem-solve and drive solutions from conception to implementation
Excellent communication skills (written and verbal) with the ability to articulate complex quantitative concepts clearly and concisely to diverse audiences
Strong work ethic and a team player with excellent time management skills
Master's or PhD degree in a quantitative field (e.g., Mathematics, Physics, Statistics, Financial Engineering, Computer Science)
Proven experience 3+ years in quantitative modeling and analytics, specifically within financial derivatives, risk management, or similar domains.

What we offer:

Competitive compensation package, including an annual salary review and discretionary performance bonus
Comprehensive social benefits, including premium healthcare, an award-winning pension scheme, robust life insurance, generous holiday allowance, and family support programs (e.g., competitive maternity and paternity scheme)
Flexible hybrid work model, blending modern office collaboration with the convenience of remote work
A dynamic, supportive, and inclusive work environment fostering collaboration, diversity, and professional growth, complemented by active affinity groups and social networks
Structured onboarding and continuous learning opportunities through extensive internal training programs, including access to platforms like Degreed
Significant influence on team processes and methodologies, with active encouragement for innovation and improvement ideas
Extensive career development and growth opportunities across Citi's global network
Direct exposure and collaboration with a wide range of senior stakeholders across different functions.

Additional Information:

Job Posted:
September 20, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Senior Quantitative Analyst