Counterparty Risk Analytics - Quantitative Analyst/Developer, Officer

Counterparty Risk Analytics - Quantitative Analyst/Developer, Officer

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Job Description

  • The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add an Officer level Quantitative Developer.



  • The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchange-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
  • As a quant developer, you will be developing state of the art codebase used for model implementation, testing and providing analysis for the business. It is a great opportunity to work on some of the most challenging problems of the team and apply new technologies to meet business needs.

    Key responsibilities include:

  • Design, develop, test, release, maintain and improve our model codebase for calibration, simulation and pricing across all major asset classes
  • Work closely with model owners to streamline model implementation and testing
  • Participate in model development and research; Perform rigorous model testing and provide explanation to model reviewers
  • Write efficient and elegant codes; Enhance user experience of the codebase


  • Master’s degree from a quantitative field (Computer Science, Applied Math, Computational Finance or other quantitative disciplines) is required; Up to 2 years’ experience is preferred.
  • Strong object-oriented programming skills in C++ or Python with experience in parallel computing, cloud(Amazon Web Service) a plus
  • Solid background in mathematics/finance including: stochastic calculus, linear algebra, numerical methods, derivative modeling
  • Strong work ethic and a team player with excellent time management skills and ability to multi-task
  • Great communications skills in both verbal and written


Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US


Time Type :Full time


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Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.


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