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Counterparty Credit Risk Quantitative Developer, VP (Hybrid)

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

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Counterparty Credit Risk Quantitative Developer, VP (Hybrid)

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in programming, software design and problem solving to Citi’s Counterparty Credit Risk Quantitative Development team.

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

The Counterparty Credit Risk Quant Development is a team within the Citi Markets Quantitative Analysis (MQA) department, responsible for developing analytical models for derivatives counterparty credit risk and exposure computations firm-wide and aligning Front Office Risk and P&L models with CVA and Counterparty Credit exposure (PSE/RWA) calculations. This is a standalone position in London, therefore we are looking for an experienced individual to join the team.

What you’ll do

  • Development and maintenance of the in-house C++ and Python model libraries
  • Advancing the quantitative toolbox by developing modern technologies, algorithms, and numerical techniques
  • Working on general efficiency improvement and optimization of the analytical libraries
  • Working with IT teams to integrate analytic libraries
  • Development and maintenance of the quant infrastructure, databases, and productivity tools
  • Supporting the build, testing and release management of the model libraries
  • Working on Regulatory and Governance projects across a range of the asset classes

What we’ll need from you

  • This is not an entry level position, previous experience in a similar role within the financial industry is a must.
  • Excellent Python and C++ programming and software design skills, including functional and performance tests design
  • Experience developing software for Windows and Linux. Working knowledge of Git, Linux command line tools, and associated DevOps automation
  • Experience with CI/CD tools and processes (TeamCity, Jenkins, Tekton, Harness, etc.)
  • Proficiency in all aspects of the Software Development Life Cycle
  • Knowledge of traditional (RDBMS) and modern datastores (NoSQL)
  • Previous experience in developing and supporting analytical libraries and components for pricing and risking financial instruments is an advantage
  • Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
  • Proficiency in numerical analysis, familiarity with statistical and Monte-Carlo methods
  • Experience with deep-learning frameworks like PyTorch, JAX, TensorFlow, is a plus
  • Outstanding analytical and problem-solving skills
  • Thorough and detailed approach to accuracy is essential

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.


Job Family Group:

Institutional Trading


Job Family:

Quantitative Analysis


Time Type:

Full time


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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