Job Title: Lead Engineer, High-Performance Risk CalculationsLocation: New York, Jersey City
Your Role and ImpactAs the Lead Engineer for High-Performance Risk Calculations, you are the master of the computational kernel. You will own the core C++ framework responsible for executing our most critical risk methodologies, including Historical VaR, Expected Shortfall, and various stress testing calculations. Your primary mission is to deliver these complex calculations with unparalleled speed, accuracy, and efficiency.
Your impact is direct and measurable. The performance of the engine you build determines how quickly the firm can understand its risk profile and manage its capital. You will lead a team of expert C++ developers, setting the standard for high-performance computing and delivering the computational horsepower that gives Citi its competitive edge.
Key Responsibilities- Architect and develop the core C++ framework for large-scale risk aggregation and calculations from the ground up.
- Implement and relentlessly optimize complex risk algorithms for FRTB Expected Shortfall, Historical Simulation VaR, and firm-wide Stress Testing.
- Design the high-throughput data flow that efficiently combines market risk sensitivities with thousands of historical market scenarios to generate P/L vectors.
- Lead a world-class team of high-performance C++ and Python developers, setting the standard for code quality, performance, and engineering excellence.
- Collaborate with quantitative analysts to translate complex mathematical models into highly efficient, production-ready code.
- Ensure the calculation engine is robust, scalable, and capable of meeting the aggressive timelines required for regulatory and internal risk reporting.
What We're Looking For- 15+ years of hands-on, expert-level C++ development experience is a must, with a proven track record of building low-latency, high-throughput, computationally intensive systems.
- Deep, practical experience building and delivering large-scale risk calculation engines for VaR and Stress Testing within a major financial institution.
- A profound understanding of high-performance computing techniques, including multi-threading, vectorization (SIMD), memory optimization, and cache-friendly data structures.
- A degree in a highly quantitative or technical field such as Computer Science, Engineering, Physics, or Mathematics.
- Strong domain knowledge in Market Risk, financial derivatives, and the underlying mathematics of risk calculations.
- Proven ability to lead and mentor elite teams of quantitative developers.
- Excellent problem-solving skills and the ability to architect complex systems from first principles.
Job Family Group: Technology
Job Family:Applications Development
Time Type:Full time
Primary Location:Jersey City New Jersey United States
Primary Location Full Time Salary Range:$170,000.00 - $300,000.00
In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi 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 Close Date:Aug 28, 2026
Automated Processing and AIWe 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.
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