At a Glance
- Tasks: Design and build pricing and risk models for complex derivatives.
- Company: Join Citi, a leading global financial institution with a performance-driven culture.
- Benefits: Competitive pay, flexible hybrid work, and access to employee support programmes.
- Other info: Collaborate with traders and experts in a dynamic environment focused on innovation.
- Why this job: Make a real impact in the fast-paced world of finance with cutting-edge quantitative solutions.
- Qualifications: Experience in quantitative modelling, proficiency in C++ and Python, and strong mathematical skills.
The predicted salary is between 59400 - 72600 £ per year.
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.
Responsibilities
- 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.
- Required Qualifications & Skills
- 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 Ph D in a quantitative discipline such as Mathematics, Physics, Financial Engineering, or Computer Science.
- Beneficial Skills & Qualifications
- 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.
What We Offer
At Citi, you will work on problems that matter, contributing to models that underpin decision-making across one of the world's leading financial institutions.
The Rates XVA team offers a technically rich environment where mathematical depth, engineering quality, and strong derivatives knowledge are genuinely valued, and where your contributions are visible and impactful from day one.
- A hybrid working arrangement with 3 days in the office and 2 days working remotely, providing flexibility alongside structured team collaboration.
- Exposure to a high-complexity, high-impact quantitative domain at the forefront of derivatives pricing and XVA modelling.
- Ongoing opportunities to deepen expertise across mathematics, financial modelling, and software engineering through challenging, real-world work.
- Close day-to-day collaboration with experienced traders, structurers, and quants on problems with direct trading floor impact.
- Competitive compensation and access to Citi's broader suite of financial wellbeing and employee support programmes.
- A performance-driven team culture where technical excellence, intellectual curiosity, and sound judgement are recognized and rewarded.
- Job Family Group
- Institutional Trading
- Job Family
- Quantitative Analysis
- Time Type
- Full time
- Most Relevant Skills
Please see the requirements listed above.
Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View Citi’s EEO Policy Statement and the Know Your Rights poster.
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Quantitative Analyst, Rates XVA, AVP employer: Citi
Citi is an exceptional employer, offering a dynamic work environment that fosters innovation and collaboration within the Equities Technology team. Employees benefit from cutting-edge technology, opportunities for professional growth, and a culture that values diversity and inclusion. With a focus on high-performance analytics and real-time data solutions, Citi empowers its engineers to make impactful contributions while enjoying a supportive atmosphere in a globally recognized financial institution.
StudySmarter Expert Advice🤫
We think this is how you could land Quantitative Analyst, Rates XVA, AVP
✨Tap into Campus Networks
If you're still in uni, don’t forget to engage with your campus's career services and attend finance-related events. Banks often do presentations and recruitment drives on campus, so put yourself out there and make use of these opportunities to show off your passion for the field.
✨Get Certified
Consider pursuing relevant certifications like the CFA or ACCA while you’re job hunting. They not only beef up your CV but also connect you with professional bodies which can lead to networking opportunities and even job openings in banking and financial services.
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Join finance-focused groups on platforms like LinkedIn and engage in discussions. This can really help you stand out from the crowd, allowing potential employers to see your knowledge and interest in industry trends. Plus, you might stumble upon job postings shared exclusively within the group.
✨Apply Directly and Be Proactive
Don’t shy away from reaching out directly to firms like Citi. Use their websites and apply through them, but also consider following up with a polite email to express your enthusiasm. Being proactive can make a huge difference in getting noticed in the competitive financial services sector.
We think you need these skills to ace Quantitative Analyst, Rates XVA, AVP
Some tips for your application 🫡
Show Off Your Numbers!:In the banking and financial services world, quantifiable achievements are key. Make sure your CV highlights your grades in relevant subjects, any financial certifications you hold, and specific projects where you've delivered measurable results. Employers love to see how your skills translate into real-world success.
Tailor Your Cover Letter to the Role:When applying for a full-time position, your cover letter should make a direct connection between your experience and the job description. Don't just state your enthusiasm for finance—dive into how your background in banking or financial analysis sets you apart. Let your passion shine through while being specific about what you can bring to Citi.
Include Relevant Financial Software Experience:If you've worked with financial modelling tools or software like Excel, SAP, or specific analytical tools during your studies or internships, bring that up! Highlighting your proficiency can really make your application pop and show you're ready to hit the ground running in a full-time role.
Research and Reflect:Before hitting that 'apply' button on Citi's website, do a little digging. Look up their recent projects, values, and culture. Reflecting their ethos in your application can make a huge difference and show you’re genuinely interested in being part of the team!
How to prepare for a job interview at Citi
✨Brush Up on Financial Analysis Skills
Make sure you're well-versed in financial concepts and analytical techniques relevant to banking and financial services. Get comfortable with tools like Excel for modelling or financial forecasting, as technical questions in this area are common during interviews with Citi.
✨Prepare for Case Studies
Expect to tackle case studies that demonstrate your problem-solving skills in real-world banking scenarios. Familiarise yourself with the types of problems you might face—think risk assessments or investment evaluations—and be ready to articulate your thought process clearly.
✨Show Your Passion for Finance
Since this is a full-time position, employers at Citi will be keen to see your genuine interest in finance. Be prepared to discuss recent industry trends or news articles that excite you, showcasing your enthusiasm and engagement with the field.
✨Network with Industry Professionals
Before your interview, reach out to current or former Citi employees on platforms like LinkedIn. They'll offer unique insights into the company's culture and the interview process, which can give us a delightful edge in showcasing a good fit for the team.
