Senior Quantitative Developer
4 days ago
Citi's Financial, Market & Credit Risk Technology group is seeking a Senior Quantitative Developer to join their ACE Quant Development Team. This team is responsible for developing analytical models used for derivatives credit risk and exposure calculations Firm-wide.
About the Role
The Counterparty Credit Risk Senior Application Developer position will interface closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements within the ACE application. Key responsibilities include identifying and implementing optimizations with respect to execution run-time and consolidating development across asset classes.
Key Responsibilities
• Development and maintenance of 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 asset classes
• Performing data analysis and producing regular reports
Requirements
• 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
Estimated Salary: $120,000 - $180,000 per annum
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