Job Description

Job Title: Lead Engineer, High-Performance Risk Calculations

Location:New York, Jersey City

The Opportunity: Can You Build the World's Fastest Risk Engine?

Want to build the computational engine that powers Citi's entire market risk platform? Are you driven by the challenge of orchestrating trillions of floating-point operations to calculate VaR and Expected Shortfall in record time? Do you live and breathe high-performance C++ and get excited by the prospect of optimizing complex financial algorithms to their absolute limits?

Citi is seeking an elite, hands-on engineering lead to architect and build our next-generation risk calculation engine. This is the heart of our risk platform, where petabytes of input data—sensitivities and historical scenarios—are fused to produce the firm's official risk numbers. You will be responsible for building a world-class, low-latency system that can handle the immense computational demands of modern risk management and regulations like FRTB.

Your Role and Impact

As 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 experienceis 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 Testingwithin 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.

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Job Family Group:

Technology

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Job Family:

Applications Development

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Time Type:

Full time

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Primary Location:

Jersey City New Jersey United States

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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.

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

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

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Anticipated Posting Close Date:

Aug 28, 2026

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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.

Illinois residents – AI Notice and Right

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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.