Quantitative Analyst, Rates XVA, AVP

• Prior experience in a quantitative modelling or analytics role within the financial sector, with demonstrated depth in derivatives pricing or risk management.
• Proficiency in C++ for developing high-performance analytics and pricing libraries in a production environment.
• Strong mathematical foundation in statistics, probability theory, and numerical methods, with the ability to solve analytical equations and design numerical schemes for complex financial contracts.
• Practical experience with Python for quantitative research, model development, or analytical workflows.
• Knowledge of financial products, investment instruments, and quantitative methods as applied in trading or risk management contexts.
• Clear and concise written and verbal communication skills, with the ability to convey technical concepts to both quantitative and non-quantitative colleagues.
• A Master's degree or PhD in a quantitative discipline such as Mathematics, Physics, Financial Engineering, or Computer Science.

• Experience working on XVA models, including Credit, Funding, or Capital Valuation Adjustment, or supporting an XVA trading desk.
• Familiarity with rates derivatives products and the specific modelling challenges associated with interest rate markets.
• Exposure to market data systems and experience integrating market data into quantitative workflows.

Citi is looking for a Quantitative Analyst to join the Rates XVA desk, where you will design and build sophisticated pricing and risk models that directly shape how the trading business values and manages complex derivative portfolios. Working at the intersection of advanced mathematics, high-performance software engineering, and financial markets, you will apply deep quantitative expertise to problems that have measurable impact across the trading floor. This is a hybrid role embedded within a performance-driven team that works closely with traders, structurers, and technologists to deliver quantitative solutions at scale.

• Design and build analytics libraries that support the pricing and risk management of complex financial instruments across the Rates XVA desk.
• Develop and implement quantitative pricing models using advanced numerical techniques, to enable accurate derivatives valuation.
• Apply probability-based frameworks and statistical methods to evaluate risk in complex financial contracts, constructing analytical solutions and numerical schemes that address real-world trading challenges.
• Build and maintain quantitative models for the trading business using a broad range of tools and techniques, in C++ and Python, alongside object-oriented design principles and hardware acceleration.
• Collaborate directly with traders, structurers, and technology teams to ensure models are fit for purpose, well-integrated, and aligned with business objectives.
• Partner with control functions including Market and Credit Risk, Model Validation, Audit, Finance and Legal to uphold sound governance and robust model oversight.
• Assess the risk and reward profile of modelling decisions, ensuring outputs meet the firm's standards for accuracy, transparency, and regulatory compliance.