Senior Python / Counterparty Credit Risk Senior Application Developer, Citi

Citi

Location:
United States, New York

Category:
IT - Software Development

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The Analytical Calculation Engine (ACE) Development Team is a group within Citi Financial Risk Technology, responsible for developing and implementing the applications 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.

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, provide evaluation of business process, system process, and industry standards, and make evaluative judgements
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

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

What we offer:

Medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
planned time off (vacation)
unplanned time off (sick leave)
paid holidays

Additional Information:

Job Posted:
April 29, 2025

Expiration:
May 02, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Senior Python / Counterparty Credit Risk Senior Application Developer