Python Counterparty Credit Risk Senior Developer - VP

Job DescriptionACE Quant Development Team is a group within Citi's Financial, Market & Credit Risk Technology group, responsible for developing the analytical models which are used for derivatives credit risk and exposure calculations Firm-wide.The team's primary focus is the development, testing, deployment, and maintenance of the production derivatives credit risk application, used for internal risk management and regulatory capital purposes.The Counterparty Credit Risk Senior Application Developer position is a senior role that will interface closely with Quant and Front Office technology teams to integrate pricing model and workflow enhancements within the ACE application. There will be exposure to a wide range of technological frameworks, including distributed computing architecture.Key responsibilities will include identifying and implementing optimizations with respect to the execution run-time and consolidating development across asset classes.This is an excellent opportunity to work with a wide range of advanced technology paradigms including grid computing. It will also provide significant opportunities to collaborate with teams in the broader internal network including Front Office Technology, Quant groups, Risk Managers to ensure integration of new technology features and quant library updates into the codebase.The role will involve tasks such as:Development and maintenance of the ACE Python application. Assist with transition to cloudIdentifying and developing calculation optimization improvementsWorking with Front Office teams to integrate quant library/technology enhancements into the codebaseSupporting the build, testing and release management of the credit risk applicationWork on Regulatory and Governance based projects across a range of the asset classesProviding regular development updates to stakeholdersPerforming data analysis and producing regular reportsTake ownership and proactively follow up on issues if they ariseExperience:Solid mathematical finance and statistical analysis skillsKnowledge of probability and stochastic calculusThorough and detailed approach to accuracy are essentialAbility to follow procedures and operate within strict guidelinesExcellent verbal and written EnglishAbility to work in a team and to work well under pressureTechnical Excellent command of programming using PythonExperience developing software for Windows and LinuxGood command of scripting using UNIX Shell (ksh, bash, etc)Experience working collaboratively within large development teamsProficiency with version control software like Git, TortoiseSVNFamiliarity with CI/CD pipeline technologies like Jenkins preferableOutstanding analytical and problem-solving skillsBeneficial Familiarity with Numerical analysis/Monte-Carlo methods is a plusExperience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantageProven track record of developing and supporting analytics library for derivatives pricing and risk.In depth knowledge of Rates, Credit, Equities, Commodities derivatives is an advantageEducation:Degree educated with Master’s degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics or relevant experience operating in a similar roleWhat we can offer you:By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential ratesEmployer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential ratesEmployee Assistance Program financed by EmployerPaid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)Sport Card for employees subsidized via Social Benefits Fund and Sport Cards for certain family members available at preferential ratesAdditional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.Additional day off for volunteeringCafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.Opportunity to receive an annual discretionary incentive awardSpecial offers and discounts for employeesCopy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract: https://tbcdn.talentbrew.com/company/287/cms/v3/docs/policies/RemunerationRegulations-KeyProvisions-CitibankEurope\_plc\_05012025\_A.pdfAlongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.#LI-KK1This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.------------------------------------------------------Job Family Group: Technology------------------------------------------------------Job Family:Applications Development------------------------------------------------------Time Type:Full time------------------------------------------------------Primary Location Full Time Salary Range:zł268,390.00 - zł457,010.00------------------------------------------------------Most Relevant Skills Please see the requirements listed above.------------------------------------------------------Other Relevant Skills For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------Automated Processing and AIWe use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.------------------------------------------------------This job opening is for an existing job vacancy.------------------------------------------------------Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.View Citi’s EEO Policy Statement and the Know Your Rights poster.