Finance And Risk Engineering Team is a group within the Risk (DART) Organization, responsible for developing the analytical models which are used for derivatives risk and exposure calculations Firm-wide. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation and approval, and finally to delivering the model for incorporation into the Firm’s internal and regulatory risk management processes.

The role will involve tasks such as:

Development and maintenance of the in-house C++ and Python model libraries
Advancing the quantitative toolbox by developing new technologies, algorithms and numerical techniques
Work on general efficiency improvement and optimization of the analytical libraries
Work with IT teams to integrate analytic libraries
Development and maintenance of the quant infrastructure, databases and productivity tools
Supporting the build, testing and release management of the model libraries
Work on Regulatory and Governance based projects across a range of the asset classes
Performing data analysis and producing regular reports

Required skills:

Proven track record of developing and supporting analytics library for pricing and risking Rates, Credit, Equities, Commodities derivatives is an advantage
Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
Solid mathematical finance and statistical analysis skills
Knowledge of probability and stochastic calculus
Familiarity with Numerical analysis/Monte-Carlo methods
Experience developing software for Windows and Linux
Good command of scripting using UNIX Shell (ksh, bash, etc), Python and VBA
Knowledge of Relational Databases (Mongo, etc) databases is a plus
Knowledge/experience with Machine Learning Tools and Frameworks (scikit-learn, Teano, Keras, etc) is a plus
Good command of programming using C++, Python
Outstanding analytical and problem solving skills
Thorough and detailed approach to accuracy are essential
Ability to follow procedures and operate within strict guidelines
Excellent verbal and written English
Ability to take ownership and proactively follow up on issues
Ability to work in a team and to work well under pressure
** Responsibilities:** ** Qualifications:**
- Bachelor’s/University degree or equivalent experience
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* 2-5 years experience
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- Proficient in Microsoft Office with an emphasis on MS Excel
- Consistently demonstrates clear and concise written and verbal communication skills
- Self-motivated and detail oriented
- Demonstraed project management and organizational skills and capability to handle multiple projects at one time

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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Junior Quantitative Developer