Python Counterparty Credit Risk Senior Developer - VP

ACE Quant Development Team is part of Citi's Financial, Market & Credit Risk Technology group, responsible for developing analytical models used for derivatives credit risk and exposure calculations firm-wide.

• Solid mathematical finance and statistical analysis skills.
• Knowledge of probability and stochastic calculus.
• Thorough and detailed approach to accuracy.
• Ability to follow procedures and operate within strict guidelines.
• Excellent verbal and written English.
• Ability to work in a team and perform well under pressure.
• Excellent command of programming using Python.
• Experience in software development for Windows and Linux.
• Proficiency in scripting with UNIX Shell (ksh, bash, etc.).
• Experience working collaboratively in large development teams.
• Proficiency with version control tools such as Git and TortoiseSVN.
• Familiarity with CI/CD pipeline technologies like Jenkins (preferable).
• Outstanding analytical and problem-solving skills.
• Degree educated with Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering, or physics, or relevant experience.

Nice to have:

• Familiarity with numerical analysis and Monte-Carlo methods.
• Experience with regulatory projects including Model Risk, Basel III, Stress Testing, FRTB, and CCAR.
• Experience developing and supporting analytics libraries for derivatives pricing and risk.
• Knowledge of Rates, Credit, Equities, and Commodities derivatives.

• Develop, test, deploy, and maintain the derivatives credit risk application used for internal risk management and regulatory capital.
• Interface closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements.
• Identify and implement optimizations related to execution run-time.
• Consolidate development efforts across asset classes.
• Assist with transitioning the ACE Python application to the cloud.
• Support build, testing, and release management of the credit risk application.
• Work on regulatory and governance projects across various asset classes.
• Provide regular development updates to stakeholders.
• Perform data analysis and produce regular reports.
• Take ownership and proactively address issues that arise.

The position offers a hybrid work model with up to 2 days working from home per week.