Counterparty Credit Risk Application Programming - London, United Kingdom - eFinancialCareers
Description
ACE Development Team is a group within Citi Institutional Client Group (ICG), responsible for developing the analytical models which are used for derivatives credit risk and exposure calculations Firm-wide.
Responsibilities:
- Developing and maintaining the inhouse C++ and Python model libraries.
- Contributing to the codebase to optimise performance and consolidate the workflow across asset classes
- Extending existing test suites, including both unit and integration tests. Performance and memory profiling
- Assisting in the execution of impact analysis runs
- Serving as advisor or coach to new or lowerlevel analysts
- Exercising independence of judgement and autonomy
- Acting as SME to senior stakeholders and /or other team members
Qualifications:
- 3+ years of relevant experience
- Demonstrative experience of programming in Python and C++
- Familiarity of UNIX shell scripting (bash, ksh etc) preferable
- Proficiency with version control software like Git, TortoiseSVN
- Experience in CI/CD pipeline technologies like Jenkins preferable
- Solid mathematical finance and statistical analysis skills
- Familiarity with Numerical analysis/Monte-Carlo methods
- Outstanding analytical and problemsolving skills
- Thorough and detailed approach to accuracy are essential
- Excellent verbal and written English
- Ability to collaborate well working within a large team of developers
- Ability to work under pressure and manage deadlines or unexpected changes in expectations or requirements
Education:
- Master's degree (PhD preferred) or equivalent in computer science, mathematics, engineering or physics.
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Job Family Group:
Technology
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Job Family:
Applications Development
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Time Type:
Full time
- Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
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