Quantitative Analyst – Rates XVA

Citi seeks a Quantitative Analyst for the Rates XVA desk to design and build sophisticated pricing and risk models for complex derivative portfolios. This hybrid role involves advanced mathematics, software development, and collaboration with traders and technologists to deliver impactful quantitative solutions.

• Design and build analytics libraries for pricing and risk management of complex financial instruments
• Develop and implement quantitative pricing models using advanced numerical techniques
• Apply advanced calculus, probability theory, and statistical methods to create and enhance quantitative models
• Evaluate risk in complex financial contracts using probability-based frameworks
• Collaborate with traders, structurers, and technology teams to ensure model alignment with business needs
• Six to ten years of experience in quantitative modeling or analytics within the financial sector