At Citi, we value our talented employees and strive to help our associates grow professionally. If you are seeking a career move at the heart of a global financial institution, we encourage you to apply. Our people are the cornerstone of our success, driving innovation and progress.
By joining Citi, you will become an integral part of a global organization committed to serving as a trusted partner to our clients, responsibly providing financial services that enable growth and economic progress worldwide.
Overview
The Market Quantitative Analysis (MQA) team is seeking a Quantitative Analyst to join the Counterparty Credit Risk (MQA-CCR) team. This team develops and maintains end-to-end methodologies required to calculate counterparty credit risk exposures for derivatives across asset classes, accounting for the effect of risk mitigants. The models support Basel regulatory capital calculations and internal risk management, impacting Citis financial stability and strategic decisions.
What you will do:
- Develop, enhance, and maintain counterparty credit risk models and their underlying analytics library, delivering high-performance, production-quality code.
- Design and implement robust methodologies, advanced algorithms, and diagnostic tools to rigorously test and validate model performance.
- Interpret complex model outputs and communicate insights to internal stakeholders and external clients.
- Collaborate closely with risk quantitative analysts, technology professionals, and structurers to integrate models and solutions effectively.
What we will need from you:
- Strong technical and programming skills in C++ and Python, with experience in developing complex numerical algorithms or large-scale data processing systems.
- Solid understanding of statistical and mathematical modeling techniques, including numerical methods, stochastic calculus, Monte-Carlo techniques, and statistical inference.
- Ability to independently problem-solve and drive solutions from conception to implementation.
- Excellent communication skills (written and verbal) with the ability to articulate complex quantitative concepts clearly and concisely to diverse audiences.
- Strong work ethic and a team player with excellent time management skills.
- Masters or PhD degree in a quantitative field (e.g., Mathematics, Physics, Statistics, Financial Engineering, Computer Science).
- Proven experience 5y+ in quantitative modeling and analytics, specifically within financial derivatives, risk management, or similar domains.
What we offer:
- Competitive salary connected with annual salary review and discretionary annual performance bonus
- Social benefits (private healthcare, award-winning pension scheme, multisport, life insurance, holiday allowance, anniversary program, maternity/paternity scheme)
- Hybrid model of work – from modern offices and from home, flexible working hours
- Friendly, dynamic, supportive and diverse environment with affinity and social networks and voluntary activities
- Structured onboarding process and extensive training (e.g., Udemy, Degreed)
- Opportunity to influence how you perform tasks; teams encourage improvement ideas
- Unlimited development opportunities within Citi global network
- Exposure to a wide range of internal stakeholders and senior management
Accessibility: Citi is an equal opportunity employer. Qualified candidates will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status, or any other characteristic protected by law. If you need a reasonable accommodation to use our search tools or apply, see Accessibility at Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster.
Job Details
- Job Family Group: Institutional Trading
- Job Family: Quantitative Analysis
- Employment type: Full-time
- Job function: Research, Analyst, and IT
- Industries: Banking, Financial Services, and Investment Banking
