Citi's Credit Risk division is seeking a highly skilled and experienced Senior C++ Developer to join our dynamic team focused on credit model development. The successful candidate will play a critical role in designing, developing, and implementing robust and efficient C++ solutions for complex credit risk models. This position offers a challenging opportunity to work with cutting-edge technologies and contribute to the strategic initiatives of a leading global financial institution.

Responsibilities:

• Model Development:

Design, develop, and implement C++ applications and libraries for quantitative credit risk models for daily risk monitoring and stress testing models..

• Performance Optimization:

Optimize existing C++ codebases for performance, scalability, and stability, ensuring efficient execution of computationally intensive models.

• System Architecture:

Contribute to the architectural design of credit risk systems, focusing on C++ components, integration patterns, and adherence to best practices.

• Code Review and Quality Assurance:

Conduct thorough code reviews, enforce coding standards, and ensure the delivery of high-quality, well-tested, and maintainable software.

• Collaboration:

Work closely with quantitative analysts, risk managers, and other technology teams to translate complex mathematical models into production-ready C++ code.

• Documentation:

Create comprehensive technical documentation for developed applications, including design specifications, API documentation, and user guides.

• Problem Solving:

Analyze and troubleshoot issues in existing credit risk systems, providing timely and effective solutions.

• Technology Adoption:

Stay abreast of new C++ features, libraries, and best practices, and evaluate their applicability to credit risk model development.

Recommended Qualifications:

• 6+ years of relevant experience in C++ Development or systems analysis role

• Core C++ Proficiency:

• Expert-level command of C++, modern C++ idioms, and design patterns.

• Deep understanding of object-oriented programming (OOP) principles, data structures, and algorithms.

• Proficiency in multi-threading, concurrency, and parallel computing techniques.

• Experience with performance optimization and low-latency programming.

• Operating Systems:

• Proficiency in Linux/Unix environments.

• Experience with Windows development is a plus.

• Domain Knowledge - Credit Risk & Financial Modeling

• Credit Risk Models:

• Solid understanding of various credit risk models (Basel EAD, VaR, stress testing, scenario analysis).

• Experience in implementing and validating credit risk models

• Quantitative Finance:

• Strong foundational knowledge in quantitative finance, stochastic calculus, and statistical modeling.

• Understanding of financial products (e.g., derivatives, fixed income, equities) and their risk characteristics.

• Experience with model calibration, backtesting, and sensitivity analysis.

Education:

• Bachelor’s degree/University degree or equivalent experience

• Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:

Technology

Job Family:

Applications Development

Time Type:

Full time

Primary Location Full Time Salary Range:

$120,800.00 - $170,800.00

Most Relevant Skills

Please see the requirements listed above.

Other Relevant Skills

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

Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

This job opening is for an existing job vacancy.

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.