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About the Role
Join the Rates XVA desk as a Quantitative Analyst to design and build sophisticated pricing and risk models that shape how the trading business values and manages complex derivative portfolios. You will work at the intersection of advanced mathematics, high-performance software development, and financial markets, serving as a technical authority with measurable impact.
Responsibilities
- Design and build analytics libraries for pricing and risk management of complex financial instruments.
- Develop and implement quantitative pricing models using advanced numerical techniques like Monte Carlo simulations and PDE solvers.
- Create, maintain, and enhance quantitative models using advanced calculus, probability theory, mathematical finance, and statistical methods.
- Apply probability-based frameworks to evaluate risk in complex financial contracts.
- Collaborate with traders, structurers, and technology teams to ensure models are fit for purpose.
- Partner with control functions including Legal, Compliance, Market and Credit Risk, and Finance for governance and oversight.
- Assess risk and reward profiles of modeling decisions to ensure accuracy, transparency, and regulatory compliance.
Requirements
- Six to ten years of experience in quantitative modeling or analytics within the financial sector, with depth in derivatives pricing or risk.
- Proficiency in C++ for developing high-performance analytics and pricing libraries.
- Strong mathematical foundation in statistics, probability theory, and numerical methods.
- Hands-on experience with Python for quantitative research, model development, or analytical workflows.
- Knowledge of financial products, investment instruments, and quantitative methods in trading or risk management.
- Strong written and verbal communication skills.
Skills
- C++
- Python
- Quantitative modeling
- Derivatives pricing
- Risk management
- Monte Carlo simulations
- Partial differential equation solvers
- Calculus
- Probability theory
- Mathematical finance
- Statistical methods
- Financial products
- Investment instruments
- XVA models
- Rates derivatives
Location
- New York, New York, United States
Work Type
- Hybrid
- Full-time
Experience Level
- 6-10 years
Education Level
- Master's degree or PhD in a quantitative discipline (Mathematics, Physics, Financial Engineering, or Computer Science) is beneficial.
Salary/Compensations
- $175,000.00 - $250,000.00
Benefits
- Discretionary and formulaic incentive and retention awards.
- Medical, dental & vision coverage.
- 401(k).
- Life, accident, and disability insurance.
- Wellness programs.
- Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
About the Company
- Citi is a leading financial institution.
- The Rates XVA team offers a technically rich environment where strong derivatives knowledge, mathematical depth, and engineering quality are valued.
- Contributions are visible and impactful from day one.
Equal Opportunity
- 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.
- Reasonable accommodation is available for persons with disabilities.
- View Citi’s EEO Policy Statement and the Know Your Rights poster.