The Analytical Calculation Engine (ACE) Development Team is a group within Citi Financial Risk Technology, responsible for developing and implementing 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.

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

- 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

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)

- 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

- 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

Education:

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

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