Quantitative Analyst - C13 - NEW YORK

Citi • New York, NY

5d • $175,000 - $250,000 • Hybrid

About The Position

As a Vice President, Counterparty Credit Risk Quantitative Developer at Citi, you will build pricing and risk-management models that support trading decisions across multiple asset classes. You will design and maintain exposure and valuation models used to measure counterparty credit risk, including potential future exposure and credit valuation adjustment calculations. The role is part of Citi's Global Markets business and involves working with traders, structurers, technology teams, and risk partners to deliver reliable analytics using modern programming languages and AI tools.

The position is based in New York and follows a hybrid model, with three days in the office and two days working remotely each week. It offers exposure to multiple asset classes and counterparty risk disciplines, global learning and development programs, and resources intended to support financial wellbeing and long-term career goals.

Requirements

• 5 to 8 years of experience in quantitative development or analytics, ideally within the financial sector.
• Programming proficiency in Python and C++.
• Strong understanding of software design principles and object-oriented programming.
• Applied knowledge of market data and complex financial instruments across multiple asset classes.
• Practical experience modeling counterparty exposure or valuation adjustments, such as credit valuation adjustment or potential future exposure.
• Strong grounding in statistics and probability theory, including designing numerical schemes to value complex financial contracts.
• Ability to translate complex quantitative concepts into clear, actionable findings for trading and risk stakeholders.
• Clear and concise written and verbal communication skills.
• Bachelor's degree in a quantitative field or equivalent practical experience.

Responsibilities

• Build analytics libraries that support pricing and risk management across multiple asset classes.
• Develop and implement quantitative models for the trading business using C++ and Python.
• Design counterparty credit risk models, including exposure simulation and credit valuation adjustment methodologies.
• Analyze time and memory constraints to deliver efficient, high-performance code.
• Apply AI tools daily to accelerate model development, testing, and documentation.
• Collaborate with traders, structurers, and technology professionals to translate market needs into working solutions.
• Partner with Legal, Compliance, Market and Credit Risk, Audit, and Finance teams to maintain governance and controls.
• Evaluate risk and reward on transactions, using sound judgment to protect Citi's reputation and client interests.

Benefits

• Medical, dental, and vision coverage.
• 401(k).
• Life, accident, and disability insurance.
• Wellness programs.
• Paid time off packages, including planned vacation, unplanned sick leave, and paid holidays.
• Global learning and development programs.
• Resources supporting financial wellbeing and long-term career goals.
• Eligible employees may receive discretionary and formulaic incentive and retention awards.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior