Counterparty Credit Risk Senior Developer, Citi

Citi

Location:
United Kingdom, London

Category:
IT - Software Development

Contract Type:
Not provided

Salary:

Not provided

Save Job

Apply Position

Job Description:

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 models and workflow enhancements within the ACE application. The ACE Development Team is responsible for developing and implementing the applications used for derivatives credit risk and exposure calculations Firm-wide, focusing on development, testing, deployment, and maintenance of the production derivatives credit risk application used for internal risk management and regulatory capital purposes.

Job Responsibility:

Developing and maintaining the Counterparty Credit Risk applications, leveraging in-house Python and C++ model libraries
Supporting and improving CI/CD (build, testing and release management) of the credit risk application
Contributing to the codebase to optimize performance and consolidate the workflow across asset classes
Extending existing test suites, including unit, regression, and integration tests
Performance and memory profiling
Assisting in the execution of impact analysis testing runs
Identifying and developing calculation optimization improvements
Working on documentation
Working with Front Office teams to integrate quant library/technology enhancements into the codebase
Utilizing in-depth specialty knowledge of applications development to analyze complex problems/issues
Serving as advisor or coach to new or lower-level developers
Exercising independence of judgement and autonomy
Acting as SME to senior stakeholders and /or other team members

Requirements:

Expert in Python
Ability to write clean, tested highly efficient code
Proven track record of developing and supporting analytics library for derivatives pricing and risk
Experience developing software for Windows and Linux
Good command of scripting using UNIX Shell (ksh, bash, etc)
Experience working collaboratively within development teams
DevOps experience, deep understanding of SDLC and CI/CD (GIT, 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
Master's degree or equivalent in computer science, mathematics, engineering or physics

Nice to have:

Good knowledge in C++
In-depth knowledge of Rates, Credit, Equities, Commodities, FX derivatives
Experience working on Regulatory based projects such as Model Risk, Basel, Stress Testing, FRTB, CCAR
Solid mathematical finance and statistical analysis skills
Familiarity with Numerical analysis/Monte-Carlo methods
Knowledge of probability and stochastic calculus

Additional Information:

Job Posted:
September 30, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Counterparty Credit Risk Senior Developer