Python Counterparty Credit Risk Senior Developer, Vice President

Citibank (Switzerland) AG; Greater London; On-site; Confidential; Full time

Benefits offered by this job

27 days annual leave

Performance related bonus

Private Medical Care

Employee Assistance Program

Pension Plan

Paid Parental Leave

Employee discounts

Job summary

Citibank (Switzerland) AG is looking for a Counterparty Credit Risk Senior Application Developer in London. This senior role involves developing and maintaining credit risk applications, collaborating closely with Quant and Front Office technology teams.

Ideal candidates will have robust experience in Python and Python applications, including analytics library development. You will also improve CI/CD processes while enhancing performance across asset classes.

Qualifications

• Expert in Python with a proven track record of analytics library development.
• Ability to develop and support software for both Windows and Linux environments.
• Outstanding analytical and problem-solving skills are essential.

Responsibilities

• Develop and maintain Counterparty Credit Risk applications.
• Support and improve CI/CD processes for the credit risk application.
• Identify and develop calculation optimization improvements.

Skills

Python

C++

DevOps

UNIX Shell scripting

Analytical skills

Problem-solving skills

Tools

GIT

Jenkins

Job description

The Analytical Calculation Engine (ACE) Development Team is a group within Citi Financial Risk Technology, responsible for developing and implementing the applications 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.

Role Overview

The Counterparty Credit Risk Senior Application Developer position is a senior role that will interface closely with Quant and Front Office technology teams to integrate pricing models and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture.

Responsibilities

• Developing and 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 improvements.
• Working 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

Equal Opportunity Statement

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. 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 Accessibility at Citi. View Citi's EEO Policy Statement and the Know Your Rights poster.