Python Counterparty Credit Risk Senior Developer - VP

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. This is an excellent opportunity to work with a wide range of advanced technology paradigms including grid computing. It will also provide significant opportunities to collaborate with teams in the broader internal network including Front Office Technology, Quant groups, Risk Managers to ensure integration of new technology features and quant library updates into the codebase. The role will involve tasks such as: 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 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 What we can offer you: By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include: 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