Discover your future at Citi Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 dedicated people from around the globe. At Citi, you'll have the opportunity to grow your career, give back to your community and make a real impact. Job Overview 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
Quantitative Analyst, Rates XVA, AVP - Citi 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.
