Python Counterparty Credit Risk Senior Developer, Vice President

Citigroup Inc.; City of Westminster; On-site; GBP 70,000 - 100,000; Full time

Benefits offered by this job

27 days annual leave

Discretionary annual bonus

Private Medical Care & Life Insurance

Employee Assistance Program

Pension Plan

Paid Parental Leave

Employee discounts

Job summary

Citi is seeking an experienced Applications Developer to maintain Counterparty Credit Risk applications, leveraging in-house Python and C++ libraries. You will support and improve CI/CD (build, testing and release management) of the credit risk application and contribute to the codebase to optimize performance across asset classes.

You will extend test suites, perform performance profiling, and work with Front Office teams to integrate quant library enhancements.

Qualifications

• Expert in Python with production experience.
• Proven track record developing analytics libraries for derivatives pricing and risk.
• Experience building/software for Windows and Linux.
• Strong scripting: UNIX Shell (ksh, bash).
• Experience collaborating within development teams and supporting DevOps practices.

Responsibilities

• Maintain Counterparty Credit Risk applications using Python and C++ libraries.
• Support and improve CI/CD (build, test, release) of the credit risk application.
• Contribute to codebase to optimize performance and unify workflows across asset classes.
• Extend unit, regression, and integration tests; perform performance and memory profiling.
• Assist in impact analysis testing runs and document changes.
• Work with Front Office teams to integrate quant libraries into the codebase.
• Provide SME guidance to junior developers and stakeholders.

Skills

Python

C++

Unit testing

CI/CD

GIT

Jenkins

UNIX Shell

English communication

Performance optimization

Windows

Linux

Tools

GIT

Jenkins

UNIX Shell

Job description

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 improvementsWorking 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.

Qualifications:

• 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 is an advantage.
• Solid mathematical finance and statistical analysis skills.
• Familiarity with Numerical analysis/Monte-Carlo methods.
• Knowledge of probability and stochastic calculus.

What we’ll provide you:

• 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
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self, every day. We want the best talent around the world to be energized to join us, motivated to stay and empowered to thrive

Job Family Group: Technology

Job Family:Applications Development

Time Type:Full time

Most Relevant Skills Please see the requirements listed above.

Other Relevant Skills For complementary skills, please see above and/or contact the recruiter.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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