Counterparty Credit Risk Developer, Assistant Vice President

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 Developer 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.

This is an excellent opportunity to gain exposure to a wide range of advanced technology paradigms like grid computing. It will provide significant opportunities to collaborate with teams in the broader internal network including Front Office Technology and Quant groups, to ensure integration of new technology features and quant library updates into the codebase.

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.
• Working with Front Office Quant and Technology teams to integrate model updates and technological enhancements into the application.
• Extending existing test suites, including both unit and integration tests. Performance and memory profiling.
• Assisting in the execution of impact analysis runs.
• 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 judgement.
• Serving as advisor or coach to new or lower-level analysts.
• Exercising independence of judgement and autonomy.
• Acting as SME to senior stakeholders and /or other team members.

Qualifications:

• Demonstrative experience of programming in Python
• 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 collaborate well working within a large team of developers.
• Ability to work under pressure and manage deadlines or unexpected changes in expectations or requirements.

Education:

Master’s degree or equivalent in computer science, mathematics, engineering or physics would be an advantage

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

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