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Senior Quant Developer - Derivatives Risk (VP) - London

London, United Kingdom
Closing date
Feb 6, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
ACE Quant Development Team is a group within Citi Institutional Client Group (ICG), responsible for developing the analytical models which are used for derivatives credit risk and exposure calculations Firm-wide.

The team's primary focus is the development, testing, deployment, and maintenance of the production derivatives credit risk application, used for internal risk management and regulatory capital purposes. The Senior Quant Developer - Derivatives Risk position is a senior role that will interface closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture. Key responsibilities will include identifying and implementing optimisations with respect to the execution run-time and consolidating development across asset classes.

The role will involve tasks such as:
  • Development and maintenance of the in-house C++ and Python model libraries
  • Identifying and developing calculation optimisation improvements
  • Working with Front Office teams to integrate quant library/technology enhancements into the codebase
  • Supporting the build, testing and release management of the credit risk application
  • Work on Regulatory and Governance based projects across a range of the asset classes
  • Providing regular development updates to stakeholders
  • Performing data analysis and producing regular reports
  • 6+ years of quantitative experience
  • Excellent command of programming using C++ and Python
  • Proven track record of developing and supporting analytics library for derivatives pricing and risk. In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantage
  • 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)
  • Experience working collaboratively within large development teams
  • Proficiency with version control software like Git, TortoiseSVN
  • Familiarity with CI/CD pipeline technologies like Jenkins preferable
  • 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
  • Master's degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics.
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:
Technology -------------------------------------------------
Job Family:
Applications Development ------------------------------------------------------
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 .

View the " EEO is the Law " poster. View the EEO is the Law Supplement .
View the EEO Policy Statement .
View the Pay Transparency Posting

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