Citigroup

Python Counterparty Credit Risk Senior Developer - VP

268.4k - 457k PLN268 390 - 457 010 PLN/ rok./ rok.

SeniorHybryda·WarszawaFull-time

#474963·Dodano 9 dni temu·0

Źródło: justjoin.it

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Tech Stack / Keywords

PythonDerivatives PricingNumerical AnalysisStochastic CalculusDistributed ComputingCloud MigrationLinuxunix shellGit Jenkins

Podsumowanie oferty

Develop and maintain the ACE Python application used for derivatives credit risk and exposure calculations across the firm. The role focuses on integrating pricing-model enhancements and optimizing calculations in a production risk application, including work with distributed computing.

Wymagania

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 under pressure.
Excellent command of programming using Python.
Experience developing software for Windows and Linux.
Good command of scripting using UNIX Shell (such as ksh and bash).
Experience working collaboratively within large development teams.
Proficiency with version control software such as Git and TortoiseSVN.
Degree-level education, with a master’s degree (PhD preferred) or equivalent, in computer science, mathematics, engineering, or physics, or relevant experience in a similar role.

Nice to have:

Familiarity with numerical analysis or Monte Carlo methods.
Experience working on regulatory projects such as Model Risk, Basel III, Stress Testing, FRTB, or CCAR.
A proven track record of developing and supporting analytics libraries for derivatives pricing and risk.
In-depth knowledge of rates, credit, equities, or commodities derivatives.

Obowiązki

Develop and maintain the ACE Python application, and assist with its transition to cloud.
Identify and develop calculation-optimization improvements.
Work with Front Office teams to integrate quantitative library and technology enhancements into the codebase.
Support the build, testing, and release management of the credit risk application.
Work on regulatory and governance projects across asset classes.
Provide regular development updates to stakeholders.
Perform data analysis and produce regular reports.
Take ownership of issues and proactively follow up when they arise.

Benefity

Employer-paid Defined Contribution Pension Plan contribution of 6% of pensionable earnings.
Employer-paid private medical care for employees; packages for certain family members are available at preferential rates.
Employer-paid life insurance for employees; coverage for certain family members is available at preferential rates.
Employer-financed Employee Assistance Program.
Paid parental leave, including statutory maternity and paternity leave and two additional weeks of paid paternity leave.
Subsidized sports card for employees; cards for certain family members are available at preferential rates.
Social Benefit Fund offerings, including holiday allowance and support for sports and cultural activities.
Team-building events.
Additional day off for volunteering.
Cafeteria/flexible benefits system allowing employees to select and purchase benefits available through the provider platform.
Opportunity to receive an annual discretionary incentive award.
Special offers and discounts for employees.

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Premie

Citigroup

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