Simpliciti is Citi’s risk engine for interest rate derivatives providing risk, PnL, and PAA data to a number of Markets businesses. The application serves a wide variety of stakeholders such as Traders, Risk Managers and Financial Controllers and its mission is to provide accurate and timely valuations of trades and their sensitivity to market factors.
As part of a team dedicated to the analysis, development, testing and roll out of business facing changes, we are looking to on-board a Warsaw Risk Lead for Rates. The right person will help drive projects extending the Simpliciti platform aligned with Front Office, Finance, and Risk Management initiatives for the Rates Trading Desk and other businesses in Markets that are now live on the Simpliciti platform (e.g., Muni, Citi Treasury, LM Rates, Credit). The right person will oversee the execution of the development team with a focus on building great teams who solve challenging technical and business problems.
The types of project undertaken by the team ranges from architecture decisions, regulatory driven, business process automation, intraday risk, to large scale risk and valuation impacting changes. This is a challenging and exciting opportunity to work within Rates Risk Technology, cooperating with multiple trading desks, market risk managers and financial controllers to develop this strategically important platform.
- Working closely with business users to define plans and solutions to provide a stable, agile, and user friendly risk platform
- Liaise with internal development teams including the common platform team to drive towards a world class risk application
- Deliver an architecture which will facilitate cumulative functionality to increase at a higher rate than it does today
- Deliver on time regulatory commitments
- Warsaw leadership and people management responsibilities including career development and coaching
- Be proactive and ensure the software developed by the Team remains compliant with prescribed best practices (TDD, maintain high unit test coverage, CI…).
- Work in a leading banking environment on a modern risk system software development
- Develop and gain an understanding of full software development lifecycle
- Develop and gain an advanced understanding of Rates business, markets, products & flows
- Advance knowledge of market and credit risk measures, processes and systems.
- Demonstrable experience in communicating with business users, ideally within the financial industry.
- Demonstrable experience in actively contributing to project delivery for both small and large scale projects.
- Strong communication skills, oral and written.
- Ability to apply sound technical skills and knowledge of the Rates business to develop creative solutions to meet client and business needs.
- Knowledge of financial derivatives pricing and risk, ideally of interest rate derivatives.
- Experience of working with commercial or in-house quant pricing libraries.
Primary technical skill core requirements: Python/SQL/C#
- Knowledge of writing object oriented applications in Python.
- Experience with event-driven programming in Python.
- Experience with ORM (Object Relational Mapper) libraries.
- Strong, demonstrable experience in writing high quality unit and integration tests. Understanding of pytest framework is a plus.
- Strong, demonstrable debugging skills using tools from a variety of IDEs (PyCharm, Eclipse…).
- Hands on experience in handling various data structure e.g. delimiter, JSON and XML etc.
- Understanding of data security and protection.
- Understanding of fundamental design principles driving a scalable application is a plus.
- Understanding of python packaging for release and deployment is a plus.
- Understanding of threading model of Python, and multi-processor architecture is a plus.
- Strong experience in SQL / T-SQL (SQL Server 2008+) - DDL/DML/DCL/TCL, windowing functions, etc
- Experience in designing advanced SQL queries, stored procedures, user defined functions, views, triggers, scripts and cursors
- Experience in writing MDX queries to work with cube data would be a plus.
- Experience in Business Intelligence in MS SSIS, SSAS, SSRS would be a plus
- Solid .NET (C# preferred) background, with good understanding of IT fundamentals
- Demonstrable experience in writing reusable, testable and efficient code with proper error and exception handling.
Secondary technical skills:
- Experience in integrating with HTTP/APIs end-points and processing responses would be a plus
- Keen eye for query tuning and optimization using indexing, partitioning, optimizer statistics, execution plans, profiler
- Knowledge of locks, transactions and isolation levels
- Experience in working with XML
- Functional programming
- Big data/stream processing
• Software engineering skills:
- Experience of test driven development and of continuous integration platforms.
- Ability to recognize and work with recursive data structures of different forms as well as an understanding of standard programming algorithms.