Python Counterparty Credit Risk Senior Developer - Vp

Citi Handlowy

Warsaw, Poland
Base: zł268,390.00 - zł457,010.00; bonus/equity: n...
On-site
Python development
Counterparty credit risk
Ace python application
The ACE Quant Development Team is responsible for developing analytical models used for derivatives credit risk and exposure calculations firm-wide

Job Summary

  • The ACE Quant Development Team is responsible for developing analytical models used for derivatives credit risk and exposure calculations firm-wide.
  • This senior role involves interfacing closely with Quant and Front Office technology teams to integrate enhancements within the ACE application.
  • The position offers exposure to advanced technology paradigms including grid computing and collaboration with various internal teams.

Matching Summary

The ACE Quant Development Team is responsible for developing analytical models used for derivatives credit risk and exposure calculations firm-wide.

Salary

Base: zł268,390.00 - zł457,010.00; Bonus/Equity: Not specified; Benefits: Not specified

Skills & Requirements

Must-have

  • Python development
  • Counterparty Credit Risk
  • ACE Python application
  • calculation optimization
  • version control (Git, SVN)
  • Windows and Linux development

Nice-to-have

  • grid computing
  • cloud transition
  • CI/CD pipeline technologies
  • numerical analysis
  • Monte-Carlo methods
  • regulatory projects (Basel III, FRTB, CCAR)

Key Requirements

  • Master's degree (PhD preferred) or equivalent experience
  • Solid mathematical finance and statistical analysis skills
  • Knowledge of probability and stochastic calculus
  • Experience with large development teams
  • Proficiency with Git or TortoiseSVN

Work Rights

Not specified

Tailored Resume

Cover Letter