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Junior Quantitative Developer

Citi Bank
Junior Quantitative Developer
Mississauga Ontario Canada
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Job Description

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
  • * 2-5 years experience
    • 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


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review [Accessibility at Citi]( accessibility.htm).

View the " EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the [Pay Transparency Posting]( transp_%20English_formattedESQA508c.pdf)

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