Quant jobs / Citi

Counterparty Credit Risk Quantitative Developer – Vice President

A quant developer role building pricing and exposure models for counterparty credit risk at Citi, including potential future exposure and CVA. It sits in Global Markets and works with traders, structurers 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.

Build C++ and Python libraries for exposure simulation and CVA
Tune models for speed and memory use
Translate trader and structurer needs into working models
Work with risk, audit and finance on controls

What they ask for

Required

5-8 years in quant development or analytics
Python and C++
Object-oriented design
Market data and complex instruments
Counterparty exposure or valuation adjustment modelling (PFE, CVA)
Statistics, probability and numerical schemes
Bachelor's in a quantitative field or equivalent

Education: Bachelor's in a quantitative field or equivalent practical experience
Experience: 5-8 years in quantitative development or analytics, ideally in finance
Languages and tools: Python
C++
Markets: multi-asset, credit

How to prepare

Simulate exposure profiles for a swap with Monte Carlo and compute a simple CVA
Learn netting, collateral and the PFE definition
Practise writing efficient C++ for simulation code
Study the main interest rate and FX models used in exposure simulation

What to study

The Risk 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.