3 months ago
London, United KingdomSenior
Responsibilities
- Develop and maintain counterparty credit risk applications using Python and C++ model libraries.
- Support and improve application build, testing, and release processes.
- Optimize performance, memory usage, calculations, and workflows across asset classes.
- Extend unit, regression, and integration test suites and assist with impact-analysis testing runs.
- Integrate pricing models and quant library enhancements with Front Office technology teams.
- Analyze complex application and business-process issues, document work, and advise or coach less experienced developers.
Requirements
- Expert Python programming skills and the ability to write clean, tested, highly efficient code.
- Proven experience developing and supporting analytics libraries for derivatives pricing and risk.
- Experience developing software for Windows and Linux, with strong UNIX shell scripting skills including ksh or bash.
- Experience working collaboratively in development teams and familiarity with DevOps, SDLC, CI/CD, Git, and Jenkins.
- Strong analytical, problem-solving, communication, ownership, and organizational skills.
- Preferred: good C++ knowledge; derivatives knowledge across rates, credit, equities, commodities, and FX; and experience with Model Risk, Basel, Stress Testing, FRTB, or CCAR projects.
- Preferred: mathematical finance, statistical analysis, numerical analysis, Monte Carlo methods, probability, and stochastic calculus knowledge.
Benefits
- 27 days of annual leave plus bank holidays.
- Discretionary annual performance-related bonus.
- Private medical care and life insurance.
- Employee Assistance Program.
- Pension plan.
- Paid parental leave.
- Employee, family, and friends discounts.
- Access to learning and development resources.
- Full-time position.
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.