Cross Asset XVA Quantitative Analyst – Vice President

Overview

In this role you will develop cross-asset XVA analytics to support pricing, risk management and regulatory compliance. You will implement analytics in C++ with Python, and provide frontline support to trading desks. You will collaborate with other MQA teams and control functions to ensure governance and consistency across the organization. This is a high-impact, collaborative position within Citi’s Markets Quantitative Analysis group, shaping analytics that influence trading decisions and risk controls.

Pay / Benefits

• competitive base salary
• comprehensive benefits package
• career growth opportunities
• collaborative environment

Responsibilities

• Create and support analytics for Markets Front Office XVA across multiple asset classes
• Implement analytics primarily in C++, with Python for development
• Support trading desks with XVA models and inquiries
• Collaborate with MQA teams to share best practices and ensure consistency
• Work with control functions to ensure governance and control infrastructure
• Promote a culture of responsible finance, governance, and ethics
• Assess risk/reward of transactions and ensure awareness of the firm’s reputation

Key requirements

• Relevant experience in a comparable quantitative modeling role in financial sector
• XVA-related experience is valuable
• Strong knowledge of financial products and quantitative methods, esp. Monte Carlo simulations
• Clear and concise written and verbal communication
• Strong programming skills, preferably in C++

• Analytical thinking
• Credible challenge
• Data analysis
• Monte Carlo simulation
• C++ programming
• Python programming

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