Cross Asset XVA Quantitative Analyst - Vice President

Are you a highly skilled Quantitative Analyst seeking to tackle some of the most complex financial problems within a global institution? Citi's Markets Quantitative Analysis (MQA) group is looking for talented individuals to join our Central XVA team. This role offers a unique opportunity to contribute to innovative solutions for cross-asset XVA functionality, directly impacting our trading businesses, control functions, and international client base.

Team/Role Overview

The Central XVA team, a specialized group within Markets Quantitative Analysis (MQA), is dedicated to building innovative solutions for complex financial problems. We focus on critical XVA functionality that cuts across various asset classes, working to enhance pricing, risk management, and regulatory compliance. This is a small, high-impact team where your contributions will directly influence crucial cross-asset XVA analytics.

What You'll Do

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

• Implement these analytics in C++, also utilizing Python for development.

• Provide essential support to trading desks for XVA-related inquiries and models.

• Collaborate closely with other MQA teams to ensure consistency and share best practices across the organization.

• Work in partnership with control functions to ensure appropriate governance and control infrastructure for all XVA analytics.

• Contribute to building 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'll Need From You