Python Counterparty Credit Risk Senior Developer - VP

For additional information, please review .* 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.* 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* 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* 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* 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* Copy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract: #J-18808-Ljbffr