Lead Engineer: High-Performance Risk Calculations

Citi; New York (NY); Hybrid; USD 170,000 - 300,000; Full time

Benefits offered by this job

Medical, dental & vision coverage

401(k) retirement plan

Life, accident & disability insurance

Wellness programs

Paid time off: vacation, sick leave, &

Job summary

Citi is seeking a Lead Engineer to architect and build the next-generation high-performance risk calculation engine. You will own the core C++ framework for historical VaR, expected shortfall, and stress testing, handling petabytes of data with extreme speed and accuracy.

Based in Jersey City, hybrid work, you will lead a team of developers, collaborate with quantitative analysts, and ensure regulatory and internal reporting timelines are met.

Qualifications

• Expert-level C++ development with a track record in low-latency systems.
• Experience building large-scale risk calculation engines for VaR/Stress Testing.
• Knowledge of HPC techniques: multi-threading, SIMD, memory optimization, cache-friendly data structures.

Responsibilities

• Architect and develop the core C++ framework for large-scale risk aggregation and calculations from the ground up.
• Implement and optimize risk algorithms including Historical VaR, Expected Shortfall, and Stress Testing.
• Design high-throughput data flows mixing market sensitivities with historical scenarios to generate P/L vectors.
• Lead and mentor a team of C++ and Python developers delivering production-ready code.

Skills

C++ development

Low-latency

Multi-threading

Vectorization

High-performance computing

Team mentorship

Education

Bachelor’s or advanced degree in CS/Engineering/Math/Physics

Tools

Python

Job description

Citi is seeking a Lead Engineer to architect and build the next-generation high-performance risk calculation engine. You will own the core C++ framework for historical VaR, expected shortfall, and stress testing, handling petabytes of data with extreme speed and accuracy.

Based in Jersey City, hybrid work, you will lead a team of developers, collaborate with quantitative analysts, and ensure regulatory and internal reporting timelines are met.