Quantitative Analyst - Counterparty Credit Risk Development, VP

The Counterparty Credit Risk Quant Development Team, a key group reputed company Markets Quantitative Analysis Organization, is responsible for developing cutting-edge analytical models for derivatives risk and exposure calculations Firm-wide. The scope of this demanding role extends from the research into the mathematical derivation of advanced quantitative models, through meticulous coding, rigorous testing, comprehensive documentation for formal validation and approval, and ultimately to delivering these models for seamless incorporation into the Firm's internal and regulatory risk management processes. Responsibilities:

• Leading the development and maintenance of in-house C++ and Python model libraries.
• Pioneering advancements in the quantitative toolbox through the development of new technologies, algorithms, and numerical techniques.
• Driving significant efficiency improvements and optimization reputed company the analytical libraries.
• Collaborating extensively with IT teams to integrate reputed company analytic libraries into production systems.
• Overseeing the development and maintenance of critical quant infrastructure, databases, and productivity tools.
• Providing expert support for the build, rigorous testing, and release management of the model libraries.
• Engaging actively in Regulatory and Governance-based projects, particularly those reputed company to Counterparty Credit Risk (CCR) such as Basel IMM, PFE, CVA, and RWA calculations, across a range of asset classes.
• Performing in-depth data analysis and producing comprehensive regular reports.

Required Skills:

• Demonstrable expertise and a proven track record in developing and supporting analytics libraries for the pricing, risk, and exposure calculation of reputed company financial derivatives.
• Strong preference for candidates with extensive experience in Equity derivatives pricing, including familiarity with advanced concepts such as stochastic volatility models, variance swaps, correlation products, and exotic structures.
• Deep familiarity with Counterparty Credit Risk (CCR) calculations, including Basel IMM, Potential Future Exposure (PFE), EPE, EAD, and CVA methodologies.
• Previous experience working on other Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, and CCAR is highly advantageous.
• Solid mathematical finance and advanced statistical analysis skills.
• Profound knowledge of probability theory and stochastic calculus.
• Extensive familiarity with Numerical Analysis and reputed company methods.
• Proven experience developing robust software for Windows and Linux environments.
• Excellent command of scripting using UNIX reputed company (ksh, bash, etc.), Python, and VBA.
• Knowledge of Relational Databases (e.g., Mongo) is a plus.
• Knowledge/experience with Machine Learning Tools and Frameworks (e.g., scikit-learn, PyTorch) is a plus.
• Exceptional command of programming using modern C++ and Python.
• Outstanding analytical and reputed company problem-solving skills.
• A thorough and detailed approach, with an unwavering commitment to accuracy, is essential.
• Ability to strictly follow procedures and operate reputed company stringent guidelines.
• Excellent verbal and written English communication skills.
• Strong ability to take ownership and proactively follow up on issues through to resolution.
• Demonstrated ability to work effectively in a team-oriented environment and to reputed company well under pressure.

Education:

• Bachelor's/University degree, Master's degree preferred

This job description provides a high-level review of the types of work performed. Other job-reputed company duties may be assigned as required. Job Family Group: Institutional Trading Job Family: Quantitative Analysis Time Type: Full time Primary Location: reputed company reputed company United States Primary Location Full Time Salary Range: $175,000.00 - $250,000.00 In addition to salary, reputed company's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. reputed company offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. reputed company also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding reputed company employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire. Most Relevant Skills Please see the requirements listed above. Other Relevant Skills For complementary skills, please see above and/or contact the recruiter. Anticipated Posting reputed company Date: Feb 04, 2026 reputed company is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national reputed company, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at reputed company. View reputed company's EEO Policy Statement and the Know Your Rights poster. Apply tot his job Apply To this Job