Quantitative Technology Developer - Python and C++ - Vice President

Citibank (Switzerland) AG; Pune District; On-site; Confidential; Full time

Job summary

Citi seeks a Senior Quantitative Technology Developer to join the ACE team in building high‑performance risk analytics for derivatives credit risk. You will implement pricing and exposure models, optimize computations, and collaborate with Quantitative Research, Model Development, and Risk teams to deliver scalable analytics solutions.

The role blends software engineering with quantitative modeling, contributing to strategic platform initiatives and modernizing applications across the risk

Qualifications

• Knowledge of CCR, Exposure Modeling, XVA, Market Risk or related analytics.
• Understanding of derivatives products across asset classes.
• Experience with numerical methods, Monte Carlo simulations, and optimization.

Responsibilities

• Design, develop, and maintain risk analytics applications for derivatives credit risk.
• Develop and support quantitative technology solutions using Python and C++ libraries.
• Collaborate with research, model development, and front office teams to integrate pricing models.
• Create scalable, high‑performance calculation workflows across asset classes.
• Analyze performance, memory usage, and optimize large‑scale risk calculations.
• Develop automated testing frameworks and support CI/CD pipelines.

Skills

Python

C++

Quantitative finance

Distributed computing

CI/CD

Job description

The Opportunity

The Analytical Calculation Engine (ACE) Development Team is responsible for building and maintaining Citi's strategic platform for derivatives credit risk and exposure calculations. The platform supports critical risk management, regulatory capital, and risk analytics functions across the firm and serves as a cornerstone of Citi's Financial Risk Technology landscape. We are seeking a hands‑on Senior Quantitative Technology Developer to join the ACE team and contribute to the development of high-performance risk analytics solutions. This role offers a unique opportunity to work at the intersection of quantitative finance, software engineering, and large‑scale distributed computation while partnering closely with Quantitative Research, Model Development, Risk Management, and Front Office Technology teams.

Your Role and Impact

As a member of the ACE development team, you will design, develop, and enhance the strategic analytics platform that powers derivatives credit risk calculations across multiple asset classes. You will collaborate with quantitative analysts, model developers, and technology teams to implement pricing and exposure models, improve computational efficiency, and deliver robust risk analytics solutions used across the firm. This role combines strong software engineering skills with an understanding of quantitative modeling and risk management. You will contribute to strategic platform initiatives, application modernization efforts, and the delivery of key business and regulatory capabilities.

Key Responsibilities

• Design, develop, and maintain strategic risk analytics applications supporting derivatives credit risk and exposure calculations.
• Develop, enhance, and support quantitative technology solutions leveraging in-house Python and C++ analytics libraries.
• Partner with Quantitative Research, Model Development, and Front Office Technology teams to integrate pricing models and analytical enhancements into the ACE platform.
• Contribute to the design and implementation of scalable, resilient, and high‑performance calculation workflows spanning multiple asset classes.
• Analyze and optimize computational performance, memory utilization, and processing efficiency of large‑scale risk calculations.
• Develop and extend automated testing frameworks, including unit, regression, integration, and performance testing.
• Support software release processes, CI/CD pipelines, and environment management activities.
• Investigate and resolve complex production, performance, and analytical issues.
• Collaborate with stakeholders across Risk, Quantitative Analytics, and Technology organizations to deliver business and regulatory priorities.
• Produce high‑quality technical documentation and contribute to development standards and engineering best practices.
• Mentor junior developers and contribute to a collaborative, high‑performing engineering culture.

Preferred Qualifications

• Knowledge of Counterparty Credit Risk (CCR), Exposure Modeling, XVA, Market Risk, or quantitative risk analytics.
• Understanding of derivatives products across Rates, Credit, Equities, FX, and Commodities asset classes.
• Familiarity with numerical methods, statistical analysis, optimization techniques, and Monte Carlo simulations.
• Experience working on regulatory initiatives including Basel, Stress Testing, FRTB, CCAR, or Model Risk Management.
• Exposure to distributed computing, high-performance computing, or large‑scale analytics platforms.
• Prior experience working closely with quantitative researchers and model development teams.

Job Family Group

Technology

Job Family

Applications Development

Time Type

Full time

Most Relevant Skills

Please see the requirements listed above.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

Equal Opportunity Employer Statement

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, 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 Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster.