Quantitative Analyst, Rates XVA, AVP

Quantitative Analyst, Rates XVA, AVP

Full-Time 59400 - 72600 Β£ / year (est.) Home office (partial)
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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: Hybrid work model, competitive pay, and access to employee support programmes.
  • Other info: Collaborate with traders and quants in a dynamic environment with growth opportunities.
  • Why this job: Make a real impact in the fast-paced world of finance with cutting-edge quantitative techniques.
  • Qualifications: Experience in quantitative modelling, proficiency in C++ and Python, and strong mathematical skills.

The predicted salary is between 59400 - 72600 Β£ 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 PhD 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.

Apply now to bring your quantitative expertise to a role where sophisticated modelling, strong derivatives knowledge, and high-quality engineering combine to shape risk and pricing decisions at global scale.

Quantitative Analyst, Rates XVA, AVP employer: Citibank (Switzerland) AG

Citi London is an exceptional employer, offering a dynamic work culture that fosters innovation and collaboration across global teams. With a strong focus on employee growth, you will have access to extensive training and development opportunities while working in a hybrid environment that promotes work-life balance. Join us to be part of a forward-thinking organisation that values your contributions and empowers you to drive meaningful change in the financial services industry.

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Contact Details:

Citibank (Switzerland) AG Recruitment Team

We think you need these skills to ace Quantitative Analyst, Rates XVA, AVP

Quantitative Modelling
Derivatives Pricing
Risk Management
C++ Programming
Python Programming
Statistical Methods
Probability Theory