Python Counterparty Credit Risk Senior Developer - VP

Citi; New York (NY); On-site; USD 268,390 - 457,010; Full time

Benefits offered by this job

Employer paid Defined Contribution Pension Plan

Private Medical Care Package

Employee Assistance Program

Paid Parental Leave

Sport Card

Cafeteria/ flex benefit

Annual discretionary incentive award

Job summary

Citi is seeking a Python Counterparty Credit Risk Senior Developer (VP) to join their ACE Quant Development Team. This senior role involves developing models for credit risk and exposure calculations. Key responsibilities include application development, optimization, and collaboration with Front Office teams.

The ideal candidate has strong programming skills in Python, solid mathematical finance knowledge, and a Master’s degree in a relevant field. Citi offers a hybrid working model and competitive benefits.

Qualifications

• Solid mathematical finance and statistical analysis skills required.
• Knowledge of probability and stochastic calculus needed.
• Thorough and detailed approach to accuracy is essential.

Responsibilities

• Develop and maintain the ACE Python application.
• Identify and develop calculation optimization improvements.
• Work with Front Office teams for tech integration.

Skills

Python programming skills

Mathematical finance

Statistical analysis

Teamwork ability

Excellent verbal and written English

Education

Master's degree in computer science, mathematics, engineering or physics

Tools

UNIX Shell (ksh, bash)

Git

Jenkins

Job description

Python Counterparty Credit Risk Senior Developer - VP

Job Req Id: 26953793

Location(s): Warsaw, Mazovia, Poland

Job Type: Hybrid

Posted: Apr. 14, 2026

Job Overview

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.

Key responsibilities include:

• 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

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

Additional Information

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

The job opening is for an existing job vacancy.

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.

Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi. Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision‑making.

Salary Range

Primary Location Full Time Salary Range: zł268,390 – zł457,010