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

Counterparty Credit Risk Senior Developer (Python & C++) (Hybrid)Job DescriptionACE 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 Developerposition 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 improvementsWorking with Front Office teams to integrate quant library/technology enhancements into the codebaseSupporting the build, testing and release management of the credit risk applicationWork on Regulatory and Governance based projects across a range of the asset classesProviding regular development updates to stakeholdersPerforming data analysis and producing regular reportsTake ownership and proactively follow up on issues if they ariseExperience:Solid mathematical finance and statistical analysis skillsKnowledge of probability and stochastic calculusThorough and detailed approach to accuracy are essentialAbility to follow procedures and operate within strict guidelinesExcellent verbal and written EnglishAbility to work in a team and to work well under pressureTechnical Excellent command of programming using Python and C++Experience developing software for Windows and LinuxGood command of scripting using UNIX Shell (ksh, bash, etc)Experience working collaboratively within large development teamsProficiency with version control software like Git, TortoiseSVNFamiliarity with CI/CD pipeline technologies like Jenkins preferableOutstanding analytical and problem-solving skillsBeneficial Familiarity with Numerical analysis/Monte-Carlo methods is a plusExperience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantageProven track record of developing and supporting analytics library for derivatives pricing and risk.In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantageEducation:Degree educated with Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics or relevant experience operating in a similar roleWhat we’ll provide you 27 days annual leave (plus bank holidays)A discretional annual performance related bonusPrivate Medical Care & Life InsuranceEmployee Assistance ProgramPension PlanPaid Parental LeaveSpecial discounts for employees, family, and friendsAccess to an array of learning and development resourcesAlongside 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-AS1------------------------------------------------------Job Family Group: Technology------------------------------------------------------Job Family:Applications Development------------------------------------------------------Time Type:Full time------------------------------------------------------Citi is an equal opportunity and affirmative action employer.Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. 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 the "EEO is the Law" poster. View the EEO is the Law Supplement.View the EEO Policy Statement.View the Pay Transparency Posting
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