The Counterparty Credit Risk Quant Development Team at Citi is responsible for developing cutting-edge analytical models for derivatives risk and exposure calculations Firm-wide. This involves research, coding, testing, documentation, and delivery of these models for internal and regulatory risk management processes.
Requirements
- Demonstrable expertise and a proven track record in developing and supporting analytics libraries for the pricing, risk, and exposure calculation of complex financial derivatives.
- Strong preference for candidates with extensive experience in Equity derivatives pricing, including familiarity with advanced concepts such as stochastic volatility models, variance swaps, correlation products, and exotic structures.
- Deep familiarity with Counterparty Credit Risk (CCR) calculations, including Basel IMM, Potential Future Exposure (PFE), EPE, EAD, and CVA methodologies.
- Solid mathematical finance and advanced statistical analysis skills.
- Profound knowledge of probability theory and stochastic calculus.
- Extensive familiarity with Numerical Analysis and Monte-Carlo methods.
- Proven experience developing robust software for Windows and Linux environments.
Responsibilities
- Leading the development and maintenance of in-house C++ and Python model libraries.
- Pioneering advancements in the quantitative toolbox through the development of new technologies, algorithms, and numerical techniques.
- Driving significant efficiency improvements and optimization within the analytical libraries.
- Collaborating extensively with IT teams to integrate complex analytic libraries into production systems.
- Overseeing the development and maintenance of critical quant infrastructure, databases, and productivity tools.
- Providing expert support for the build, rigorous testing, and release management of the model libraries.
- Engaging actively in Regulatory and Governance-based projects, particularly those related to Counterparty Credit Risk (CCR) such as Basel IMM, PFE, CVA, and RWA calculations, across a range of asset classes.
Other
- Bachelor’s/University degree, Master’s degree preferred
- Exceptional command of programming using modern C++ and Python.
- Outstanding analytical and complex problem-solving skills.
- A thorough and detailed approach, with an unwavering commitment to accuracy, is essential.
- Ability to strictly follow procedures and operate within stringent guidelines.
