Python Counterparty Credit Risk Senior Developer, Vice President

Citigroup

London, England, United Kingdom
Discretionary annual performance related bonus; ba...
Hybrid
Expert python programming skills
Derivatives pricing and risk analytics
Ci/cd and devops experience
The role involves developing and maintaining the Counterparty Credit Risk application used for internal risk management and regulatory capital purposes

Job Summary

  • The role involves developing and maintaining the Counterparty Credit Risk application used for internal risk management and regulatory capital purposes.
  • Candidates will interface closely with Quant and Front Office teams to integrate pricing models and workflow enhancements within the ACE application.
  • The position offers 27 days of annual leave plus bank holidays, a discretionary annual performance-related bonus, and access to extensive learning resources.

Matching Summary

The role involves developing and maintaining the Counterparty Credit Risk application used for internal risk management and regulatory capital purposes.

Salary

Discretionary annual performance related bonus; Base: Not specified; Benefits: 27 days annual leave, Private Medical Care, Pension Plan

Skills & Requirements

Must-have

  • Expert Python programming skills
  • Derivatives pricing and risk analytics
  • CI/CD and DevOps experience
  • UNIX Shell scripting proficiency
  • Linux and Windows development environment

Nice-to-have

  • C++ knowledge for model libraries
  • Regulatory project experience Basel FRTB
  • Monte-Carlo methods and stochastic calculus
  • Rates, Credit, Equities, Commodities, FX derivatives
  • Mentoring junior developers

Key Requirements

  • Vice President level seniority
  • Proven track record in analytics library development
  • Deep understanding of SDLC and release management

Work Rights

Not specified

Tailored Resume

Cover Letter