Quantitative Analyst

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in programming, problem solving and communication to Citi’s Counterparty Credit Risk team.

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

The Market Quantitative Analysis (MQA) team is looking for a Quantitative Analyst to join the Counterparty Credit Risk team (MQA-CCR). The MQA-CCR team is responsible for developing and maintaining the end-to-end set of methodologies needed to calculate counterparty credit risk exposures for derivatives, from simulation and pricing across all asset classes to the effect of risk mitigants. The models are used for advanced Basel regulatory capital calculations and internal risk management measures.

What you will do:

• Contribute to counterparty credit risk models and their analytics library
• Write production-quality code
• Develop methodologies, algorithms, and diagnostic tools for testing model performance
• Analyse and provide comprehensive explanation of model outputs to internal and external clients
• Collaborate closely with risk quantitative analysts, technology professionals and structurers

What we will need from you:

• Experience in a comparable quantitative modelling or analytics role, ideally in the financial sector
• Strong technical and programming skills: C++, Python
• Ability to independently problem-solve
• An ability to communicate advanced concepts in a concise and logical way, strong interpersonal and communication skills (verbal and writing)
• Strong work ethic and a team player with excellent time management skills and ability to multi-task
• MSc/PhD in a quantitative field

What we can offer you:

This is a role that will offer you the opportunity to contribute to improvements in Citi’s Counterparty Credit Risk models and develop new tools.

• Competitive salary connected with annual salary review and discretionary annual performance bonus
• Social benefits (private healthcare, award winning pension scheme, multisport, life insurance, holiday allowance, anniversary program, competitive maternity and paternity scheme)
• Hybrid model of work – from modern offices and from home, flexible working hours
• Working in a friendly, dynamic, supportive and diverse environment – including multiple affinity and social networks & voluntary activities to engage with
• Structured onboarding process and extensive training offering (e.g. including Udemy, Degreed)
• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
• Unlimited development opportunities within Citi global network.
• Exposure to a wide range of internal stakeholders as well as to senior management