Senior Quantitative Analyst

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.

TheMarket Quantitative Analysis (MQA)team is seeking a Quantitative Analystto join theCounterparty 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 maintaincounterparty credit risk models and their underlying analytics library, deliveringhigh-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 outputsand communicate comprehensive insights to internal stakeholders and external clients.

• Collaborate closelywith risk quantitative analysts, technology professionals, and structurers to integrate models and solutions effectively.

What we will need from you:

• Strong technical and programming skillsinC++ 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 techniquesand statistical inference.

• Ability to independently problem-solveand 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 ethicand ateam playerwith excellent time management skills

• Master's or PhD degreein a quantitative field (e.g., Mathematics, Physics, Statistics, Financial Engineering, Computer Science).

• Proven experience3+ yearsin 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.

• Adynamic, supportive, and inclusive work environmentfostering collaboration, diversity, and professional growth, complemented by active affinity groups and social networks.

• Structured onboardingand continuous learning opportunities through extensive internal training programs, including access to platforms likeDegreed.

• Significant influenceon team processes and methodologies, with active encouragement for innovation and improvement ideas.

• Extensive career development and growth opportunitiesacross Citi's global network.

• Direct exposure and collaborationwith 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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