Python Counterparty Credit Risk Senior Developer - VP

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

Benefits offered by this job

Pension plan

Private medical care

Life insurance

Employee assistance program

Sport card

Volunteering day off

Cafeteria benefits

Annual incentive awards

Job summary

Citibank (Switzerland) AG is seeking a Counterparty Credit Risk Senior Application Developer to join the ACE Quant Development Team in Citi's risk technology group. You will interface with Quant and Front Office teams to integrate pricing model enhancements within the ACE application.

The role covers development, testing, deployment, and maintenance of the production derivatives credit risk app, with opportunities to work across asset classes and cloud adaptation, while delivering robust

Qualifications

• Master’s or PhD in a quantitative field with strong math background.
• Proficient Python development for Windows and Linux.
• Experience with large development teams and deployment tools.

Responsibilities

• Develop and maintain the ACE Python application.
• Assist with transition to cloud.
• Identify and develop calculation optimization improvements.
• Collaborate with Front Office to integrate quant libraries into codebase.
• Support the build, testing and release management of the credit risk application.
• Work on Regulatory and Governance based projects across asset classes.
• Provide regular development updates to stakeholders.
• Perform data analysis and produce regular reports.
• Take ownership and proactively follow up on issues.

Skills

Python

Windows

Linux

Shell scripting

Git

Jenkins

CI/CD

Mathematical finance

Stochastic calculus

English proficiency

Education

Master's degree

PhD preferred

Tools

Jenkins

Git

CI/CD pipelines

Python tooling

Job description

ACE Quant Development Team is a group within Citi's Financial, Market & Credit Risk Technology group, responsible for developing the analytical models which are 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.

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 model and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture. Key responsibilities will include identifying and implementing optimizations with respect to the execution run-time and consolidating development across asset classes. This is an excellent opportunity to work with a wide range of advanced technology paradigms including grid computing. It will also provide significant opportunities to collaborate with teams in the broader internal network including Front Office Technology, Quant groups, Risk Managers to ensure integration of new technology features and quant library updates into the codebase.

• Development and maintenance of the ACE Python application.
• Assist with transition to cloud
• 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 the asset classes
• Providing regular development updates to stakeholders
• Performing data analysis and producing regular reports
• Take ownership and proactively follow up on issues if they arise

Experience

• Solid mathematical finance and statistical analysis skills
• Knowledge of probability and stochastic calculus
• Thorough and detailed approach to accuracy are essential
• Ability to follow procedures and operate within strict guidelines
• Excellent verbal and written English
• Ability to work in a team and to work well under pressure
• Excellent command of programming using Python
• Experience developing software for Windows and Linux
• Good command of scripting using UNIX Shell (ksh, bash, etc.)
• Experience working collaboratively within large development teams
• Proficiency with version control software like Git, TortoiseSVN
• Familiarity with CI/CD pipeline technologies like Jenkins preferable
• Outstanding analytical and problem‑solving skills
• Beneficial Familiarity with Numerical analysis/Monte‑Carlo methods is a plus
• Experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
• Proven track record of developing and supporting analytics library for derivatives pricing and risk.
• In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantage.

Education

Degree educated with Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics or relevant experience operating in a similar role.

What we can offer you

• By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:
• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidized via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees

Copy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract: https://tbcdn.talentbrew.com/company/287/cms/v3/docs/policies/RemunerationRegulations-KeyProvisions-CitibankEurope_plc_05012025_A.pdf

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