Citi Group Counterparty Credit Risk Senior Developer Vice President 

United Kingdom, England, London 

102120239

Key responsibilities will include identifying and implementing optimizations with respect to the execution run-time and consolidating development across asset classes.

The role will involve tasks such as:

- Development and maintenance of the in-house Python and C++ model libraries.

- Identifying and developing calculation optimization improvements

- 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

Qualifications:

- Excellent command of programming using Python and C++

- Proven track record of developing and supporting analytics library for derivatives pricing and risk

- In-depth knowledge of Rates, Credit, Equities, Commodities, FX derivatives is an advantage

- 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

- Knowledge of probability and stochastic calculus

- Familiarity with Numerical analysis/Monte-Carlo methods is a plus

- Experience developing software for Windows and Linux

- Good command of scripting using UNIX Shell (ksh, bash, etc)

- Proficiency with version control software like Git, TortoiseSVN

- Familiarity with CI/CD pipeline technologies like 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

Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics.

Time Type:

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