Quant jobs / Citi

Counterparty Credit Risk Quant Technology Lead (Python/C++)

A senior quant technology lead role building pricing and risk analytics for Citi's commodities derivatives business, within the ACE team. It sits between front-office quants, traders, risk and technology.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Lead the build of Python and C++ libraries for commodity valuation, sensitivities and scenarios
Tune performance of heavy pricing and risk calculations
Design distributed systems for intraday and end-of-day risk runs
Bring new front-office pricing models into production
Mentor developers and work with model risk and regulatory teams

What they ask for

Required

14+ years building quant analytics platforms in capital markets
Expert Python
Strong C++ for performance work
Derivative pricing, risk or valuation delivery
Distributed computing and scalable design
Linux/Unix, Git, CI/CD and automated testing
Technical leadership and mentoring

Preferred

Commodities markets (energy, power, metals, agriculture)
Commodity derivative pricing, curve construction and volatility
Monte Carlo and optimisation
FRTB, Basel and stress testing
Compute grids and cloud

Education: Not stated
Experience: 14+ years in quant analytics platform development in capital markets
Languages and tools: Python
C++
Markets: commodities

How to prepare

Write a Monte Carlo pricer for a commodity option in C++ with a Python wrapper
Learn commodity forward curve construction
Study how exposure and risk calculations are distributed across a compute grid
Practise profiling and speeding up numerical code

What to study

The Energy Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.

View the posting on Citi’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.