Python Counterparty Credit Risk Senior Developer - VP

Citi; Warszawa; On-site; PLN 268,000 - 457,000; Full time

Benefits offered by this job

Pension plan

Private medical care

Life insurance

Employee assistance program

Parental leave

Sport card

Volunteering day

Flex benefits

Annual incentive

Job summary

Citi is hiring for an ACE Quant Development role in Warsaw. You will develop and maintain the ACE Python application, interfacing with Quant and Front Office teams to integrate pricing models and workflows. Expect exposure to distributed computing and deployment across asset classes.

The position emphasizes building scalable credit risk solutions, supporting testing, and contributing to regulatory projects while delivering timely updates to stakeholders.

Qualifications

• Solid mathematical finance and statistical analysis skills.
• Knowledge of probability and stochastic calculus.
• Excellent verbal and written English.
• Ability to work in a team and under pressure.
• Strong analytical and problem-solving abilities.

Responsibilities

• Development and maintenance of the ACE Python application.
• Identify and implement computation optimizations.
• Collaborate with Front Office and Quant teams on library enhancements.
• Support build, testing and release management of the credit risk app.
• Work on regulatory and governance projects across asset classes.
• Provide regular updates to stakeholders and produce reports.
• Take ownership and proactively resolve issues as they arise.

Skills

Mathematical finance

Statistics

English communication

Teamwork

Analytical thinking

Problem solving

Python

Windows

Linux

UNIX shell

Education

Master's degree or PhD (preferred)

Tools

Git

TortoiseSVN

Jenkins

CI/CD

Unix Shell

Job description

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.

The role will involve tasks such as:

• 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

Technical

• 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:

• 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

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.

#LI-KK5

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:

Technology

Job Family:

Applications Development

Time Type:

Full time

Primary Location Full Time Salary Range:

zł268,390.00 - zł457,010.00

Most Relevant Skills

Please see the requirements listed above.

Other Relevant Skills

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

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