Quantitative Analyst - Vice President
Citi
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.
The Market Quantitative Analysis (MQA) team is seeking a Quantitative Analyst to join the Counterparty Credit Risk (MQA-CCR) team. This team plays a critical role in developing and maintaining the end-to-end methodologies required to calculate counterparty credit risk exposures for derivatives. This includes simulation and pricing across all asset classes, accounting for the effect of risk mitigants. The sophisticated models developed by the MQA-CCR team are essential for advanced Basel regulatory capital calculations and internal risk management, directly impacting Citi's 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 sophisticated diagnostic tools to rigorously test and validate model performance.
Interpret complex model outputs and communicate comprehensive 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, for example, 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
Master's 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, competitive maternity and paternity scheme)
Hybrid model of work – from modern offices and from home, flexible working hours
Working in a friendly, dynamic, supportive and diverse environment – including multiple affinity and social networks & voluntary activities to engage with
Structured onboarding process and extensive training offering (e.g. including Udemy, Degreed)
Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
Unlimited development opportunities within Citi global network.
Exposure to a wide range of internal stakeholders as well as to senior management
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Job Family Group:
Institutional Trading------------------------------------------------------
Job Family:
Quantitative Analysis------------------------------------------------------
Time Type:
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Most Relevant Skills
Please see the requirements listed above.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
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