Quantitative Analyst - Rates XVA, AVP

Citi is seeking an AVP-level Quantitative Analyst to join their Rates XVA team in New York. This role involves developing and enhancing pricing and risk models for interest rate derivatives, directly influencing trading decisions and balance sheet management. You will collaborate with traders, quants, and technology teams to deliver production-ready solutions.

• Build and enhance XVA models for interest rate derivatives
• Develop quantitative libraries for trading and risk systems
• Implement Monte Carlo simulation and exposure modeling
• Work closely with traders, senior quants, and technology teams
• Contribute to the full model lifecycle
• Improve model performance and infrastructure