Data Developer

2 weeks ago


London, Greater London, United Kingdom Citigroup Inc. Full time
Counterparty Credit Risk Senior Developer (Python & C++) (Hybrid)

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 Developerposition 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.

Key responsibilities will include identifying and implementing optimizations with respect to the execution run-time and consolidating development across asset classes.

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.

Development and maintenance of the in-house Python and C++ model libraries.
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
Performing data analysis and producing regular reports
Solid mathematical finance and statistical analysis skills
Excellent verbal and written English
Excellent command of programming using Python and C++
Experience developing software for Windows and Linux
Good command of scripting using UNIX Shell (ksh, bash, etc)
Proficiency with version control software like Git, TortoiseSVN
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
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

27 days annual leave (plus bank holidays)
~ A discretional annual performance related bonus
~ Private Medical Care & Life Insurance
~ Employee Assistance Program
~ Pension Plan
~ Paid Parental Leave
~ Special discounts for employees, family, and friends
~ Applications Development
Full time

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

View the EEO Policy Statement .
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