Quantitative Developer, Counterparty Credit Risk, Avp

Citi

Not specified
C++ and python model libraries
Derivatives pricing and risk
Probability theory and stochastic calculus
Citi is hiring a Quantitative Developer for its Counterparty Credit Risk Quant Development Team, where the candidate will engage in developing and maintaining analytical models for derivatives risk. The role emphasizes collaboration, innovation, and technical proficiency in programming languages such as C++, Python, and TypeScript/JavaScript, alongside a solid understanding of risk management principles

Job Summary

  • Contribute to the development and maintenance of in-house C++ and Python model libraries.
  • Assist in advancing the quantitative toolbox by exploring new technologies, algorithms, and numerical techniques.
  • Play a direct role in supporting the Firm's internal and regulatory risk management processes, particularly for Counterparty Credit Risk.

Matching Summary

Match Score: 85

Citi is hiring a Quantitative Developer for its Counterparty Credit Risk Quant Development Team, where the candidate will engage in developing and maintaining analytical models for derivatives risk. The role emphasizes collaboration, innovation, and technical proficiency in programming languages such as C++, Python, and TypeScript/JavaScript, alongside a solid understanding of risk management principles.

Skills & Requirements

Must-have

  • C++ and Python model libraries
  • derivatives pricing and risk
  • probability theory and stochastic calculus
  • Numerical Analysis and Monte Carlo
  • UNIX Shell and Python scripting

Nice-to-have

  • Machine Learning Tools and Frameworks
  • Relational Databases knowledge
  • adapt to fast-paced environment
  • proactively follow up on issues

Key Requirements

  • Foundational understanding of derivatives
  • Solid academic background
  • Experience developing software
  • Familiarity with Counterparty Credit Risk calculations

Work Rights

Not specified

Tailored Resume

Cover Letter