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Senior VP Quantitative Analyst at Citi, driving XVA pricing and risk models for global trading desk.
Leading end-to-end design, calibrations, and regulatory compliance in NY hybrid role, $200k-250k salary.
Introduction
Discover your future at Citi Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact.
Job Overview
Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York, New York location.
Duties
Lead end-to-end design and implementation of counterparty credit risk models and pricing utilities for the XVA trading desk across Interest Rate, FX, Commodity, and Credit derivatives. Provide strategic guidance on cross-asset pricing frameworks, structured trade pricing, and hedging strategies for Sales and Trading. Manage and enhance XVA pricing infrastructure, including curve calibration and pricing analytics; ensure tools meet front office and risk management requirements. Oversee pricing and risk management for complex Interest Rate, FX, Commodity, and Credit Derivatives, including evaluation of hedging strategies and incremental business impacts. Serve as primary liaison for the trading desk, translating business needs into actionable project requirements and providing guidance on strategy, risk considerations, and pricing implications. Lead and oversee SA-CCR and RWA calculations for the Global Citi XVA desk and front office users, ensuring alignment with internal risk management and capital allocation policies. Provide guidance on the capital impact of new trades and portfolios. Identify opportunities to optimize workflows, improve reporting, and enhance data-driven decision-making; ensure proper documentation and adherence to model governance standards. Lead design, testing, and deployment of internal applications, coordinate release schedules, and ensure timely resolution of operational issues affecting multiple desks. Coach juniors in model development, coding standards, and analytical best practices; review deliverables for accuracy and adherence to risk guidelines. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements
Requires a Master’s degree, or foreign equivalent, in Financial Engineering, Mathematics, Statistics, or related field and 4 years of experience as a Quantitative Analyst, Financial Risk Consultant or related position developing quantitative models for risk management at a global financial services institution. Alternatively, employer will accept a Bachelor degree in the stated fields and 6 years of progressively responsible, post-baccalaureate experience. Full span of experience must include: Data analysis on large financial datasets; Quantitative project management; Automating testing procedures and validation processes for quantitative models and analytical tools, using scalable numerical computation techniques; Python, and SQL; and Mathematical finance, statistics, probability, and calculus-based numerical methods, including Monte Carlo simulation and partial differential equation techniques. Additionally, 3 years of experience must include: Designing quantitative frameworks and pricing utilities for counterparty credit risk and XVA-related analytics; Developing and implementing pricing models for Interest Rate, FX, Commodity, and Credit derivatives; Developing analytics libraries and tools used for derivatives pricing, risk analysis, and trading desk decision-making; Liaising with trading desks, including developing solutions, guiding strategy, risk considerations, and pricing implications; C++; and Regulatory stress testing and capital calculation frameworks, including CCAR, ICAAP, GSST.
Wage Range
$200,000 to $250,000
Job Family Group
Institutional Trading
Job Family
Quantitative Analysis
Time Type
Full time
Primary Location
New York New York United States
Primary Location Full Time Salary Range
Benefits
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
Legal Note
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.