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.
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.
The role will involve tasks such as:
- 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
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.
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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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View Citi’s EEO Policy Statement and the Know Your Rights poster.
Skills Required
- 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
- Experience working collaboratively within development teams
- DevOps experience, deep understanding of SDLC and CI/CD
- Outstanding analytical and problem-solving skills
- Excellent verbal and written English
- Ability to work in a team and to work well under pressure
Citi Compensation & Benefits Highlights
The following summarizes recurring compensation and benefits themes identified from responses generated by popular LLMs to common candidate questions about Citi and has not been reviewed or approved by Citi.
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Healthcare Strength — Benefits coverage is positioned as comprehensive, including health, dental, and vision insurance plus on-site clinics, prescription drug support, and disability coverage. Family-building support such as fertility assistance is described as a notable differentiator within the overall package.
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Retirement Support — Retirement benefits are framed as strong, highlighted by a 401(k) with matching and additional plan options like a Roth 401(k). Financial support is reinforced through discounts and broader financial guidance resources tied to the benefits ecosystem.
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Wellbeing & Lifestyle Benefits — Wellbeing support extends beyond insurance through programs like an Employee Assistance Program, counseling/legal resources, and gym or wellness reimbursement. These offerings increase the perceived total rewards value even when cash compensation sentiment varies by role.
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