Citi · 11 hours ago
Quantitative Analyst - Counterparty Credit Risk Development, VP
New York, NY
Full-time
Onsite
Senior Level
$175K/yr - $250K/yrCiti is a leading global bank, and they are seeking a Quantitative Analyst for their Counterparty Credit Risk Development Team. This role involves developing advanced analytical models for derivatives risk and exposure calculations while collaborating with IT teams and engaging in regulatory projects related to Counterparty Credit Risk.
BankingFinanceFinancial Services
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
Performing in-depth data analysis and producing comprehensive regular reports
Qualification
Required
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
Previous experience working on other Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is highly advantageous
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
Excellent command of scripting using UNIX Shell (ksh, bash, etc.), Python, and VBA
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
Excellent verbal and written English communication skills
Strong ability to take ownership and proactively follow up on issues through to resolution
Demonstrated ability to work effectively in a team-oriented environment and to perform well under pressure
Bachelor's/University degree
Preferred
Master's degree preferred
Knowledge of Relational Databases (e.g., Mongo) is a plus
Knowledge/experience with Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch) is a plus
Benefits
Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
Company
Citi
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
Founded in 1812
10001+ employees
H1B Sponsorship
Citi has a track record of offering H1B sponsorships. Please note that this does not
guarantee sponsorship for this specific role. Below presents additional info for your
reference. (Data Powered by US Department of Labor)
Distribution of Different Job Fields Receiving Sponsorship
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2025 (1386)
2024 (849)
2023 (1375)
2022 (1117)
2021 (876)
2020 (901)
Funding
Current Stage
Late StageLeadership Team
James Monahan
Managing Director / Global Head of Asset Servicing
Naveed Sultan
Managing Director, Chairman, Institutional Clients Group
Recent News
2026-01-20
2026-01-15
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