The Analytical Calculation Engine (ACE) Development Team is a group within Citi Financial Risk Technology, responsible for developing and implementing the applications 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 models and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture.

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.

Education:
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.
-
Job Family Group:
Technology
-

• 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