3 days ago
Base Salary
$150k - $175k/yr
Responsibilities
- Develop and maintain C++ libraries for exotic-derivative pricing, risk, and regulatory calculations.
- Contribute to FRTB modeling and implementation across SA, IMA, NMRF, and DRC frameworks.
- Implement and benchmark numerical methods including Monte Carlo, PDE solvers, trees/lattices, and sensitivities/AAD.
- Collaborate with traders, structurers, risk quants, senior quants, and technology partners to integrate models into production.
- Write unit tests, regression suites, performance benchmarks, and technical documentation.
Requirements
- Comfortable programming in C++ and/or Python, with interest in developing high-performance C++ skills.
- Exposure to NumPy, SciPy, Pandas, Git, Linux, and CMake is a plus.
- Hands-on experience with numerical algorithms, linear algebra, or simulations through coursework, projects, or internships.
- Strong grounding in probability, statistics, stochastic calculus, linear algebra, and numerical analysis.
- Interest in or academic exposure to derivative pricing and market-risk concepts such as FRTB, VaR, Expected Shortfall, and Greeks.
- Master’s degree required in a quantitative STEM discipline; PhD preferred.
- Strong analytical, problem-solving, communication, collaboration, and learning skills.
Benefits
- Medical, dental, and vision coverage.
- 401(k), life, accident, and disability insurance.
- Wellness programs.
- Paid vacation, sick leave, and holidays.
- Full-time role based in New York, New York.
About Citi
Citi is a public financial-services company offering consumer and institutional banking, credit cards, wealth management, treasury and trade solutions, and capital-markets services. It serves individuals, corporations, financial institutions, and governments in more than 160 countries and jurisdictions, earning interest and fee income from lending, payments, trading, and advisory. Founded in 1812 and headquartered in New York, it trades on the NYSE under the ticker C.