Cross Asset XVA Quantitative Analyst - Assistant Vice President

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi's Markets Quantitative Analysis team.

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Role Overview

Markets Quantitative Analysis (MQA) builds innovative solutions to the most complex financial problems facing our trading businesses, control functions and international client base. Central XVA (X-Value Adjustment) is a small team working on important XVA functionality that cuts across asset classes.

What you will do

• Create and support analytics for Markets Front Office XVA across multiple asset classes using probability theory, financial mathematics, and numerical techniques.

• Implement these analytics in C++, also using Python.

• Support trading desks.

• Collaborate closely with other MQA teams.

• Work in partnership with control functions to ensure appropriate governance and control infrastructure.

• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.

• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation.

What we will need from you

• This can be an entry level role, although experience in a comparable quantitative modelling role in the financial sector, especially in XVA, is valuable.

• Knowledge of financial products and related quantitative methods, especially Monte Carlo simulation.