Quantitative Developer, Counterparty Credit Risk, Avp

Citigroup

London, United Kingdom
Hybrid
C++ and python model libraries
Derivatives pricing and risk concepts
Probability theory and stochastic calculus
Contribute to the development and maintenance of in-house C++ and Python model libraries

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

Contribute to the development and maintenance of in-house C++ and Python model libraries.

Skills & Requirements

Must-have

  • C++ and Python model libraries
  • derivatives pricing and risk concepts
  • probability theory and stochastic calculus
  • Numerical Analysis and Monte Carlo methods
  • UNIX Shell and Python scripting
  • Counterparty Credit Risk (CCR) calculations

Nice-to-have

  • exploring new technologies and algorithms
  • Machine Learning Tools and Frameworks
  • collaboration and knowledge sharing
  • fast-paced, high-pressure environment

Key Requirements

  • Solid academic background in quantitative field
  • Experience developing software in Windows or Linux
  • Familiarity with Basel IMM, PFE, CVA methodologies
  • Exposure to Regulatory-based projects (Basel III, FRTB)

Work Rights

Not specified

Tailored Resume

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