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Citigroup Counterparty Risk Analytics - Quantitative Analyst/Developer, Officer in New York, New York

The Counterparty Risk Analytics team within Citi Quantitative Risk and Stress Testing group is looking to add an Officer level Quantitative Developer. Team: The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchange-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 Qualifications: Master’s degree from a quantitative field (Computer Science, Applied Math, Computational Finance or other quantitative disciplines) is required; Up to 2 years’ experience is preferred. 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 ------------------------------------------------------ Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity. 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 CLICK HERE . To view the "EEO is the Law" poster CLICK HERE . To view the EEO is the Law Supplement CLICK HERE . To view the EEO Policy Statement CLICK HERE . To view the Pay Transparency Posting CLICK HERE .

Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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