Financial Modeling Expert, Vice President
4 weeks ago
The Analytical Calculation Engine (ACE) Development Team at Citi Global Markets Limited is seeking a senior application developer to join their team. This position will involve developing and implementing analytical models for derivatives credit risk and exposure calculations firm-wide.
The successful candidate will be responsible for identifying and implementing optimizations with respect to execution run-time and consolidating development across asset classes. They will also work closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements within the ACE application.
Key Responsibilities- Development and maintenance of in-house Python and C++ model libraries
- 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 asset classes
- Providing regular development updates to stakeholders
- Performing data analysis and producing regular reports
The ideal candidate will have an excellent command of programming using Python and C++. They should also have a proven track record of developing and supporting analytics libraries for derivatives pricing and risk.
A master's degree or equivalent in computer science, mathematics, engineering or physics is preferred. The successful candidate will have solid mathematical finance and statistical analysis skills, as well as knowledge of probability and stochastic calculus.
Salary and BenefitsWe offer a competitive salary package with a minimum estimated salary of $170,000 per annum, depending on experience. Our benefits include a comprehensive health insurance plan, retirement savings plan, and generous paid time off.
Citi Global Markets Limited is an equal opportunity employer and welcomes applications from diverse candidates. We are committed to providing a work environment that is inclusive and respectful of all employees.
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