Python Counterparty Credit Risk Senior Developer - VP

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.

Role Tasks

• Development and maintenance of the ACE Python application. Assist with transition to cloud
• 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 Skills

• Excellent command of programming using Python
• 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

Benefits

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer
• Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidized via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees

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

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