Python Counterparty Credit Risk Senior Developer, Vice President

Overview

In this senior role within Citi’s ACE Development Team, you will help build and maintain the production derivatives credit risk application used across the firm for risk management and regulatory capital. You will collaborate with Quant and Front Office teams to integrate pricing models and workflow enhancements, while improving performance, tests, and deployment. You’ll act as a technical SME, mentor newer developers, and drive cross-asset workflow optimization in a fast-paced environment.

Pay / Benefits

• 27 days annual leave (plus bank holidays)
• Discretionary annual bonus
• Private medical care
• Life insurance
• Pension plan
• Paid parental leave

Responsibilities

• Develop and maintain the Counterparty Credit Risk applications using in-house Python and C++ model libraries
• Support and improve CI/CD (build, test, release management) for the credit risk application
• Contribute to codebase to optimize performance and consolidate workflows across asset classes
• Extend test suites (unit, regression, integration) and perform performance/memory profiling
• Assist in impact analysis testing runs and identify calculation optimization opportunities
• Document technical work and collaborate with Front Office to integrate quant library enhancements
• Provide problem analysis, evaluation of processes and standards, and prudent technical judgments
• Serve as advisor/coach to newer developers and act with independence and accountability
• Operate as SME to senior stakeholders and team members

Key requirements

• Expert in Python
• Write clean, tested, highly efficient code
• Proven track record developing and supporting analytics libraries for derivatives pricing and risk
• Experience developing software for Windows and Linux
• Good command of UNIX Shell scripting (ksh, bash, etc)
• Experience working collaboratively within development teams
• DevOps experience with understanding of SDLC and CI/CD (Git, Jenkins preferable)
• Outstanding analytical and problem-solving skills
• Thorough and detailed approach to accuracy
• 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 under pressure

• Collaborative mindset
• Strong analytical thinking
• Ownership and proactivity
• Python
• C++ (nice to have)
• Windows and Linux development

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