Job Information
Citigroup Counterparty Credit Risk Senior Developer, Vice President in London, United Kingdom
The Analytical Calculation Engine (ACE) Development Team is a group within Citi Financial Risk Technology, responsible for developing and implementing 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.
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
Qualifications:
Excellent command of programming using Python and C+- Proven track record of developing and supporting analytics library for derivatives pricing and risk
In-depth knowledge of Rates, Credit, Equities, Commodities, FX derivatives is an advantage
Experience working on Regulatory based projects such as Model Risk, Basel, Stress Testing, FRTB, CCAR is an advantage
Solid mathematical finance and statistical analysis skills
Knowledge of probability and stochastic calculus
Familiarity with Numerical analysis/Monte-Carlo methods is a plus
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
Thorough and detailed approach to accuracy are essential
Ability to follow procedures and operate within strict guidelines
Excellent verbal and written English
Ability to take ownership and proactively follow up on issues
Ability to work in a team and to work well under pressure
Education:
Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics.
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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .
View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP_EEO_Supplement_Final_JRF_QA_508c.pdf) .
View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo_aa_policy.pdf) .
View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp_%20English_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup
- Citigroup Jobs