- Doctoral Degree
- Master's Degree
- Time Management
The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add an AVP level Quantitative Developer.
The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
As a quant developer, you will be developing state of the art codebase used for model implementation, testing and providing analysis for the business. It is a great opportunity to work on some of the most challenging problems of the team and apply new technologies to meet business needs.
Key responsibilities include:
Design, develop, test, release, maintain and improve our model codebase for calibration, simulation and pricing across all major asset classes
Work closely with model owners to streamline model implementation and testing
Participate in model development and research; Perform rigorous model testing and provide explanation to model reviewers
Write efficient and elegant codes; Enhance user experience of the codebase
PhD degree or Master’s degree with 2+ years of experience from a quantitative field (Computer Science, Applied Math, Computational Finance or other quantitative disciplines)
Strong object-oriented programming skills in C++ or Python with experience in parallel computing, cloud(Amazon Web Service) a plus
Solid background in mathematics/finance including: stochastic calculus, linear algebra, numerical methods, derivative modeling
Strong work ethic and a team player with excellent time management skills and ability to multi-task
Great communications skills in both verbal and written
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US
Time Type :Full time
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