Counterparty Credit Risk Senior Developer (Python & C++) (Hybrid)

Job title:

Counterparty Credit score Threat Senior Developer (Python & C++) (Hybrid)

Firm

Citigroup

Job description

Counterparty Credit score Threat Senior Developer (Python & C++) (Hybrid)Job Description

• ACE Quant Growth Workforce is a bunch inside Citi Institutional Shopper Group (ICG), liable for growing the analytical fashions that are used for derivatives credit score threat and publicity calculations Agency-wide.
• The group’s major focus is the event, testing, deployment, and upkeep of the manufacturing derivatives credit score threat software, used for inside threat administration and regulatory capital functions.
• The Counterparty Credit score Threat Senior Utility Developer place is a senior position that can interface intently with Quant and Entrance Workplace expertise groups to combine pricing mannequin and workflow enhancements throughout the ACE software. There might be publicity to a variety of technological frameworks, together with distributed computing structure.
• Key duties will embody figuring out and implementing optimizations with respect to the execution run-time and consolidating growth throughout asset courses.

This is a superb alternative to work with a variety of superior expertise paradigms together with grid computing. It would additionally present vital alternatives to collaborate with groups within the broader inside community together with Entrance Workplace Expertise, Quant teams, Threat Managers to make sure integration of recent expertise options and quant library updates into the codebase.The position will contain duties reminiscent of:

• Growth and upkeep of the in-house Python and C++ mannequin libraries.
• Figuring out and growing calculation optimization enhancements
• Working with Entrance Workplace groups to combine quant library/expertise enhancements into the codebase
• Supporting the construct, testing and launch administration of the credit score threat software
• Work on Regulatory and Governance based mostly tasks throughout a spread of the asset courses
• Offering common growth updates to stakeholders
• Performing information evaluation and producing common studies
• Take possession and proactively observe up on points in the event that they come up

Expertise:

• Strong mathematical finance and statistical evaluation expertise
• Information of chance and stochastic calculus
• Thorough and detailed strategy to accuracy are important
• Capacity to observe procedures and function inside strict pointers
• Glorious verbal and written English
• Capacity to work in a group and to work properly underneath stress

Technical

• Glorious command of programming utilizing Python and C++
• Expertise growing software program for Home windows and Linux
• Good command of scripting utilizing UNIX Shell (ksh, bash, and so on)
• Expertise working collaboratively inside massive growth groups
• Proficiency with model management software program like Git, TortoiseSVN
• Familiarity with CI/CD pipeline applied sciences like Jenkins preferable
• Excellent analytical and problem-solving expertise

Useful

• Familiarity with Numerical evaluation/Monte-Carlo strategies is a plus
• Expertise engaged on Regulatory based mostly tasks reminiscent of Mannequin Threat, Basel III, Stress Testing, FRTB, CCAR is a bonus
• Confirmed observe file of growing and supporting analytics library for derivatives pricing and threat.

In depth data of Charges, Credit score, Equities, Commodities derivatives is a bonusTraining:

• Diploma educated with Grasp’s diploma (PhD most well-liked) or equal in pc science, arithmetic, engineering or physics or related expertise working in an identical position

What we’ll present you

• 27 days annual go away (plus financial institution holidays)
• A discretional annual efficiency associated bonus
• Personal Medical Care & Life Insurance coverage
• Worker Help Program
• Pension Plan
• Paid Parental Go away
• Particular reductions for workers, household, and pals
• Entry to an array of studying and growth assets

Alongside these advantages Citi is dedicated to making sure our office is the place everybody feels comfy coming to work as their entire self, day-after-day. We would like one of the best expertise all over the world to be energized to affix us, motivated to remain and empowered to thrive.#LI-AP2Job Household Group: ExpertiseJob Household: Purposes GrowthTime Kind: Full timeCiti is an equal alternative and affirmative motion employer.Certified candidates will obtain consideration with out regard to their race, shade, faith, intercourse, sexual orientation, gender identification, nationwide origin, incapacity, or standing as a protected veteran.Citigroup Inc. and its subsidiaries (“Citi”) invite all certified candidates to use for profession alternatives. If you’re an individual with a incapacity and wish an inexpensive lodging to make use of our search instruments and/or apply for a profession alternative overview .View the ” ” poster. View the .View the .View the

Anticipated wage

Location

London

Job date

Fri, 05 Apr 2024 00:21:33 GMT

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