Senior Credit Technology Developer (C++) - Hybrid

Job Id: 23656878

The Senior Developer (C++) will be a key member of the Analytics Implementation team within Wholesale Credit Risk area. The team focuses on the design, implementation, delivery and support of models for the firms’ Wholesale Credit Stress (CCAR, ICAAP) and Counterparty Credit Risk (Basel4, PFE) models. In particular, for this role, the successful candidate will participate in the software development, delivery and maintenance of high-performance analytics frameworks and libraries covering wholesale credit risk products. This will require the candidates to work with other Wholesale Credit model developers and business partners to analyze new or enhanced modelling requirements and complete coding and testing of the software.

Responsibilities

• Partner with multiple development and management teams to ensure appropriate integration of functions to meet goals as well as identify and define necessary system enhancements to deploy new products and process improvements
• You will be joining a team responsible for developing and supporting models to quantify and manage counterparty credit risk reporting
• This group is responsible for margin modeling as well as credit risk capital calculation
• Help on-board new products into the counterparty risk valuation framework
• Design and implement new cutting-edge, cross-asset, counterparty and funding risk simulation models as well as enhance the existing library
• Ensure clear documentation and testing of models

Qualifications

• Excellent communication skills (written and verbal)
• 6-10 years related experience required
• Candidate with an understanding of Counterparty Credit Risk Potential Future Exposure, Margin (ISDA MNA and CSA), Collateral Haircut, Liquidity and Period of Risk, Settlement Risk preferred.
• Degree in Math, Math Finance, Physics, Computer Science, Engineering or similar
• Extensive C/C++ coding experience
• Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods

Citi Canada is an equal opportunity employer. Accordingly, we will make accommodations to respond to the needs of people with disabilities (including, without limitation, physical and mental health disabilities) during the recruitment process and otherwise in accordance with law. Individuals who view themselves as Aboriginals, members of visible minority or racialized communities, and people with disabilities are encouraged to apply.

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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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