Citi Group Counterparty Credit Risk Senior Application Developer - VP NEW YORK 

United States, New York, New York 

622445772

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.

Advantage:

• 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.

Master’s degree or equivalent in computer science, mathematics, engineering or physics.

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

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

Anticipated Posting Close Date:

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