Counterparty Credit Risk Senior Architect, SVP

The Analytical Calculation Engine (ACE) Development Team is a group within Citi Finance and Risk Technology, responsible for developing and implementing the analytical models for derivatives credit risk and exposure calculations Firm-wide.

The team's primary focus is the development, testing, deployment, and maintenance of the derivatives credit risk application, used for internal risk management and regulatory capital purposes.

The Counterparty Credit Risk Senior Architect position is a senior role that will interface closely with developers, quants and front office technology teams to improve the system architecture, the codebase organization, testing and release processes. There will be exposure to a wide range of technological frameworks, including high performance distributed computing and cloud.

The role will involve tasks such as:

Developing and improving the Counterparty Credit Risk applications architecture.Optimize performance and consolidate the workflow across asset classes.Improving the CI/CD of the credit risk application.Extend and enhance existing test suites.Identifying and developing calculation optimization improvements.Serving as advisor or coach to new or lower-level developers.Exercising independence of judgement and autonomy.Acting as SME to senior stakeholders and /or other team members.

Qualifications:

Proven experience in software development or engineering roles.Excellent command of Python is essential.Deep understanding of software design, architecture principles and industry best practices.Experience with distributed systemsExperience with CI/CD pipelines and Dev Ops practicesAbility to write clean, tested highly efficient code.Outstanding analytical and problem-solving skills.Solid mathematical finance and statistical analysis skills.Excellent verbal and written English.Strong leadership skills and experience working collaboratively within development teams.Ability to take ownership and proactively follow up on issues.

Advantages:

Good knowledge in C++.Knowledge of Rates, Credit, Equities, Commodities, FX derivatives and derivatives risk.Experience working on regulatory based projects such as Model Risk, Basel, Stress Testing, FRTB, SA CCR, CCAR,Experience with high performance and cloud computingFamiliarity with Numerical analysis/Monte-Carlo methods.Knowledge of probability and stochastic calculus.

Education:

Masters degree or equivalent in computer science, mathematics, engineering or physics.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Job Family Group:

Technology

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Job Family:

Applications Development

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Time Type:

Full time

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