Senior Quantitative Analyst

At Citi, we value our talented employees and strive to help our associates grow professionally. If you are seeking a career move at the heart of a global financial institution, we encourage you to apply. Our people are the cornerstone of our success, driving innovation and progress. 

By joining Citi, you will become an integral part of a global organization committed to serving as a trusted partner to our clients, responsibly providing financial services that enable growth and economic progress worldwide. 

The Market Quantitative Analysis (MQA) team is seeking a Quantitative Analyst to join the Counterparty Credit Risk (MQA-CCR) team in Budapest, Hungary (with potential for other global Citi locations). This team plays a critical role in developing and maintaining the end-to-end methodologies required to calculate counterparty credit risk exposures for derivatives. This includes simulation and pricing across all asset classes, accounting for the effect of risk mitigants. The sophisticated models developed by the MQA-CCR team are essential for advanced Basel regulatory capital calculations and internal risk management, directly impacting Citi's financial stability and strategic decisions. 

What You Will Do:

• Develop, enhance, and maintain counterparty credit risk models and their underlying analytics library, delivering high-performance, production-quality code. 
• Design and implement robust methodologies, advanced algorithms, and sophisticated diagnostic tools to rigorously test and validate model performance. 
• Interpret complex model outputs and communicate comprehensive insights to internal stakeholders and external clients. 
• Collaborate closely with risk quantitative analysts, technology professionals, and structurers to integrate models and solutions effectively. 

What we will need from you: 

• Strong technical and programming skills in C++ and Python, with experience in developing complex numerical algorithms or large-scale data processing systems. 
• Solid understanding of statistical and mathematical modeling techniques, including, for example, numerical methods, stochastic calculus, Monte-Carlo techniques and statistical inference. 
• Ability to independently problem-solve and drive solutions from conception to implementation. 
• Excellent communication skills (written and verbal) with the ability to articulate complex quantitative concepts clearly and concisely to diverse audiences. 
• Strong work ethic and a team player with excellent time management skills 
• Master's or PhD degree in a quantitative field (e.g., Mathematics, Physics, Statistics, Financial Engineering, Computer Science). 
• Proven experience 3+ years in quantitative modeling and analytics, specifically within financial derivatives, risk management, or similar domains. 

Your Career at Citi and What We Offer: 

This role provides a unique opportunity to contribute to significant improvements in Citi's Counterparty Credit Risk models and develop cutting-edge tools. 

• Competitive compensation package, including an annual salary review and discretionary performance bonus. 
• Comprehensive social benefits, including premium healthcare, an award-winning pension scheme, robust life insurance, generous holiday allowance, and family support programs (e.g., competitive maternity and paternity scheme). 
• Flexible hybrid work model, blending modern office collaboration with the convenience of remote work. 
• A dynamic, supportive, and inclusive work environment fostering collaboration, diversity, and professional growth, complemented by active affinity groups and social networks. 
• Structured onboarding and continuous learning opportunities through extensive internal training programs, including access to platforms like Degreed. 
• Significant influence on team processes and methodologies, with active encouragement for innovation and improvement ideas. 
• Extensive career development and growth opportunities across Citi's global network. 
• Direct exposure and collaboration with a wide range of senior stakeholders across different functions. 

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities. 

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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