Citi Group Counterparty Credit Risk Application Programming 

United Kingdom, England, London 

419951370

Counterparty Credit Risk Analytics is a group within Citi Financial Risk Technology, responsible for developing the applications used for derivatives credit risk and exposure calculations Firm-wide.

The Counterparty Credit Risk Application Programming Analyst is an intermediate level position responsible for participation in the development and advancement of the derivatives credit risk application.

Core objectives will include developing and maintaining the applications calculating the Counterparty Credit Risk metrics and implementing optimizations to the overall execution run-time and workflow. Additional objectives will include the contribution towards application execution analysis reports, monitoring and optimization of the application build and the enhancement of the end-to-end calculation test suite.

Responsibilities:

Developing and maintaining the Counterparty Credit Risk applications, leveraging n-house C++ and Python model libraries.

Supporting the build, testing and release management.

Contributing to the codebase to optimize performance and consolidate the workflow across asset classes.

Extending existing test suites, including both unit and integration tests. Performance and memory profiling.

Serving as advisor or coach to new or lower-level analysts.

Exercising independence of judgement and autonomy.

Qualifications:

Demonstrative experience of programming in Python and C++.

Experience in systems analysis and programming of software applications.

Familiarity of UNIX shell scripting (bash, ksh etc) preferable.

Proficiency with version control software like Git, TortoiseSVN.

Experience in CI/CD pipeline technologies like Jenkins preferable.

Solid mathematical finance and statistical analysis skills.

Familiarity with Numerical analysis/Monte-Carlo methods.

Outstanding analytical and problem-solving skills.

Thorough and detailed approach to accuracy are essential.

Excellent verbal and written English.

Ability to work under pressure and manage deadlines or unexpected changes in expectations or requirements.

Master’s degree (PhD preferred) 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.

Time Type:

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