Quant jobs / Citi

Lead Engineer, Next Generation Quant Pricing Platform – Vice President

A senior engineering role leading the global quant pricing platform that runs front-office pricing models across large hybrid-cloud compute grids to produce risk P&L. It is the compute backbone of Citi's risk system.

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.

Design the job scheduling and orchestration layer for the pricing grid
Build event-driven job lifecycle handling and failure recovery
Create ML-based monitoring that spots anomalies and predicts failed jobs
Move large volumes of market and trade data between on-premise and cloud
Onboard and optimise quants' C++ and Python models for the grid

What they ask for

Required

Building applications for large-scale HPC grids
Job scheduling and workload optimisation
Event-driven architectures
Hybrid cloud on AWS or GCP
Docker and Kubernetes
C++ and Python
Capital markets and derivatives knowledge, including FRTB
Debugging pricing issues with quants

Preferred

ML for monitoring and anomaly detection
XVA grid experience

Education: Bachelor's degree or equivalent experience; master's preferred
Experience: Proven experience on quant pricing platforms, risk calculations or XVA grids
Languages and tools: C++
Python

How to prepare

Build a small job scheduler that farms out pricing tasks and handles failures
Learn Docker and Kubernetes basics and run a batch workload on them
Study how scenario-based risk P&L and XVA calculations are structured
Practise profiling C++ and Python numerical code

What to study

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

Open the roadmap

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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.