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 work within the small, high-impact Central XVA team and collaborate with trading desks, MQA groups, and control functions. Your work will involve advanced quantitative methods and numerical techniques to deliver robust analytics that inform business decisions and governance. This is an opportunity to shape cross-asset XVA capabilities at a global institution and contribute to responsible finance and ethics. You will be supported to grow technically and professionally in Citi’s Markets Quantitative Analysis group.

Pay / Benefits

• competitive base salary
• comprehensive benefits package
• opportunity for professional growth
• global exposure

Responsibilities

• Create and support analytics for Markets Front Office XVA across multiple asset classes
• Implement analytics in C++ with Python for development
• Provide support to trading desks for XVA models and inquiries
• Collaborate with other MQA teams to share best practices
• Partner with control functions to ensure governance and controls for XVA analytics
• Contribute to a culture of responsible finance, governance, and ethics
• Assess risk/reward of transactions in decision-making to protect the firm’s reputation

Key requirements

• Experience in a comparable quantitative modeling role in finance
• XVA-related experience is valuable
• Strong knowledge of financial products and quantitative methods, especially Monte Carlo simulations
• Clear written and verbal communication skills
• Strong programming skills in C++
• MSc or PhD in a quantitative subject

• Clear and concise communication
• Collaborative mindset
• Attention to governance and risk controls
• Monte Carlo simulation
• C++ programming
• Python development for analytics

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