2 months 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 is a public financial-services company offering consumer and institutional banking, credit cards, wealth management, treasury and trade solutions, and capital-markets services. It serves individuals, corporations, financial institutions, and governments in more than 160 countries and jurisdictions, earning interest and fee income from lending, payments, trading, and advisory. Founded in 1812 and headquartered in New York, it trades on the NYSE under the ticker C.