C++ Tech Lead - Analytical Calculation Engine

Citi - full time

Pune, India

02 Jun 2017


About ACE:
ACE stands for Analytical Calculation Engine. It calculates Counterparty Credit Exposure for various derivative products. It provides EAD (Exposure at Default), PFE (Potential Future Exposure)/CP-PFE, PSLE/CP-PSLE profile to downstream systems; these outputs are used to calculate Basel RWA (Risk Weighted Asset), Internal Risk Monitoring, CVA/DVA (Credit Value Adjustment/Debit Value Adjustments) etc.

Mandatory Qualifications:

  • Bachelor’s degree in Computer Science, Information Systems Management, or related field preferred
  • 8 to 10 years of strong experience in C++ under UNIX/Linux environment
  • Strong in Basic C++ concepts like Polymorphism, Exception handling, writing new Classes, Pointer Handling, Dynamic memory allocation/de-allocation
  • Strong experience in using STL containers (Like vector, list, map etc.), BOOST library
  • Should have fair knowledge of Multithreading, Design Patterns

Desirable Qualifications:

  • Experience of using TBB, Google Protocol Buffer, Zero MQ libraries
  • Knowledge of Risk Domain, Counterparty Credit Risk, Derivatives Products
  • Ability to prioritize and manage schedules under tight, fixed deadlines
  • Ability to produce professional, technically-sound solutions
  • Strong writing, communication, time-management, decision-making, and basic task organization skills
  • Good team player

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