29 days ago
Warsaw, PolandStaff+
Responsibilities
- Develop and maintain the ACE Python derivatives credit risk application.
- Identify and implement calculation and execution-runtime optimizations across asset classes.
- Integrate quant library, pricing model, workflow, and technology enhancements with Front Office teams.
- Assist with the transition of the application to cloud infrastructure.
- Support application build, testing, release management, and ongoing production maintenance.
- Work on regulatory and governance projects including model risk, Basel III, stress testing, FRTB, and CCAR-related initiatives.
- Analyze data, produce regular reports, provide development updates, and proactively resolve issues.
Requirements
- Strong mathematical finance and statistical analysis skills, including probability and stochastic calculus.
- Excellent Python programming skills and experience developing software for Windows and Linux.
- Good Unix shell scripting skills, including ksh or bash.
- Experience collaborating within large development teams and using version control such as Git or TortoiseSVN.
- Familiarity with Jenkins and CI/CD pipeline technologies is preferred.
- Numerical analysis and Monte Carlo experience is beneficial.
- Experience with regulatory projects and derivatives pricing or risk analytics libraries is advantageous.
- In-depth knowledge of rates, credit, equities, or commodities derivatives is advantageous.
- Master’s degree or equivalent in computer science, mathematics, engineering, physics, or a related field; PhD preferred, with relevant equivalent experience accepted.
- Strong analytical, problem-solving, communication, accuracy, teamwork, and pressure-management skills.
Benefits
- Hybrid working model with currently up to two days working from home per week.
- Employer-paid defined contribution pension plan contribution of 6% of pensionable earnings.
- Employer-paid private medical care and life insurance programs, with preferential family-member rates available.
- Employer-financed employee assistance and parental leave programs, including additional paid paternity leave.
- Subsidized employee sport card, social benefits, holidays allowance, cultural and team-building support, and an additional volunteering day.
- Cafeteria/flexible benefits platform and employee discounts.
- Potential annual discretionary incentive award.
- Full-time employment in Citi Solutions Center Poland.
About Citi
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have over 200 years of experience helping our clients meet the world's toughest challenges and embrace its greatest opportunities. We are Citi, the global bank – an institution connecting millions of people across hundreds of countries and cities. For information on Citi’s commitment to privacy, visit on.citi/privacy.