Counterparty Credit Risk Senior Developer (Python & C++) (Hybrid)

Counterparty Credit Risk Senior Developer (Python & C++) (Hybrid)

Job Description

• ACE Quant Development Team is a group within Citi's Financial, Market & Credit Risk Technology group, responsible for developing the analytical models which are used for derivatives Credit Risk and exposure calculations Firm-wide.
• The team's primary focus is the development, testing, deployment, and maintenance of the production derivatives Credit Risk application, used for internal risk management and regulatory capital purposes.
• The Counterparty Credit Risk Senior Application Developer position is a senior role that will interface closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture.
• Key responsibilities will include identifying and implementing optimizations with respect to the execution run-time and consolidating development across asset classes.

This is an excellent opportunity to work with a wide range of advanced technology paradigms including grid computing. It will also provide significant opportunities to collaborate with teams in the broader internal network including Front Office Technology, Quant groups, Risk Managers to ensure integration of new technology features and quant library updates into the codebase.

The role will involve tasks such as:

• Development and maintenance of the in-house Python and C++ model libraries.
• Identifying and developing calculation optimization improvements
• Working with Front Office teams to integrate quant library/technology enhancements into the codebase
• Supporting the build, testing and release management of the Credit Risk application
• Work on Regulatory and Governance based projects across a range of the asset classes
• Providing regular development updates to stakeholders
• Performing data analysis and producing regular reports
• Take ownership and proactively follow up on issues if they arise

Experience:

• Solid mathematical finance and statistical analysis skills
• Knowledge of probability and stochastic calculus
• Thorough and detailed approach to accuracy are essential
• Ability to follow procedures and operate within strict guidelines
• Excellent verbal and written English
• Ability to work in a team and to work well under pressure

Technical

• Excellent command of programming using Python and C++
• Experience developing software for Windows and Linux
• Good command of scripting using UNIX Shell (ksh, bash, etc)
• Experience working collaboratively within large development teams
• Proficiency with version control software like Git, TortoiseSVN
• Familiarity with CI/CD pipeline technologies like Jenkins preferable
• Outstanding analytical and problem-solving skills

Beneficial

• Familiarity with Numerical analysis/Monte-Carlo methods is a plus
• Experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
• Proven track record of developing and supporting analytics library for derivatives pricing and risk.
  In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantage

Education:

• Degree educated with Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics or relevant experience operating in a similar role

What we’ll provide you

• 27 days annual leave (plus bank holidays)
• A discretional annual performance related bonus
• Private Medical Care & Life Insurance
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self, every day. We want the best talent around the world to be energized to join us, motivated to stay and empowered to thrive.

#LI-AP2

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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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