Team/Role Overview

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

What you’ll do

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

What we’ll need from you

• Demonstrable expertise and a proven track record in developing and supporting analytics libraries for the pricing, risk, and exposure calculation of complex financial derivatives.
• Strong preference for candidates with extensive experience in Equity derivatives pricing, including familiarity with advanced concepts such as 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 other Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is highly advantageous.
• 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.
• Knowledge of Relational Databases (e.g., Mongo) is a plus.
• Knowledge/experience with Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch) is a plus.
• Exceptional command of programming using modern C++ and Python.
• Outstanding analytical and complex problem-solving skills.
• A thorough and detailed approach, with an unwavering commitment to accuracy, is essential.
• 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.

What we can offer you

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as: 

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure

• A discretional annual performance related bonus 
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program  
• Pension Plan 
• Paid Parental Leave 
• Special discounts for employees, family, and friends 
• Access to an array of learning and development resources 

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities. 

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

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