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About the Role
Citi’s XVA Quantitative Analytics team is seeking an AVP-level Quant to help shape and deliver pricing and risk models across our global Rates business. This role offers the opportunity to work at the intersection of trading, risk, and technology, developing models that directly influence trading decisions, capital allocation, and balance sheet management.
Responsibilities
- Build and enhance XVA models (CVA, FVA, MVA, etc.) for interest rate derivatives, supporting accurate pricing and risk management
- Develop and maintain quantitative libraries used across trading and risk systems
- Work closely with traders, senior quants, and technology teams to deliver scalable, production-ready solutions
- Implement Monte Carlo simulation and exposure modelling to support valuation and counterparty risk analytics
- Contribute to the full model lifecycle – from research and implementation through to testing, validation, and ongoing enhancement
- Improve model performance and infrastructure, helping scale analytics across large and complex portfolios
Requirements
- Experience in a quantitative modelling or quant dev role, ideally within Rates, derivatives, or XVA
- Strong programming skills in Python and/or C++
- Solid foundation in probability, statistics, and financial mathematics
- Understanding of derivatives pricing and interest rate products
- Familiarity with numerical methods, particularly Monte Carlo simulation
- Strong problem-solving skills with the ability to work in a fast-paced, collaborative environment
Skills
- Python
- C++
- Probability
- Statistics
- Financial Mathematics
- Derivatives Pricing
- Interest Rate Products
- Numerical Methods
- Monte Carlo Simulation
Location
- New York, New York, United States
Work Type
- Full-time
Experience Level
- AVP-level
Salary/Compensations
- $150,000.00 - $175,000.00
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 global organisation committed to innovation, collaboration, and delivering real-world financial impact.
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.
- 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.