Quantitative Analyst – Rates XVA

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Quantitative Analyst – Rates XVA

Risk & Compliance

Discover your future at Citi

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Job Overview

Citi is looking for a Quantitative Analyst to join the Rates XVA desk, where you will design and build sophisticated pricing and risk models that directly shape how the trading business values and manages complex derivative portfolios. Working at the intersection of advanced mathematics, high-performance software development, and financial markets, you will serve as a technical authority whose work has measurable impact across the trading floor. This is a hybrid role based within a collaborative, performance-driven team that partners closely with traders, structurers, and technologists to deliver quantitative solutions at scale.

Responsibilities

• Design and build analytics libraries used for the pricing and risk management of complex financial instruments across the Rates XVA desk.
• Develop and implement quantitative pricing models using advanced numerical techniques, including Monte Carlo simulations and partial differential equation solvers, to support accurate derivatives valuation.
• Create, maintain, and enhance quantitative models for the trading business, applying advanced calculus, probability theory, mathematical finance, and statistical methods.
• Apply probability-based frameworks to evaluate risk in complex financial contracts, constructing analytical solutions and numerical schemes that address real-world trading challenges.
• Collaborate directly with traders, structurers, and technology teams to ensure models are fit for purpose, well-integrated, and aligned with business needs.
• Partner with control functions including Legal, Compliance, Market and Credit Risk, and Finance to maintain sound governance and robust model oversight.
• Assess the risk and reward profile of modelling decisions, ensuring outputs meet the firm's standards for accuracy, transparency, and regulatory compliance.

Required Qualifications & Skills

• Six to ten years of experience in a quantitative modelling or analytics role within the financial sector, with demonstrated depth in derivatives pricing or risk.
• Proficiency in C++ for developing high-performance analytics and pricing libraries in a production environment.
• Strong mathematical foundation in statistics, probability theory, and numerical methods, with the ability to solve analytical equations and design numerical schemes for complex contracts.
• Hands-on experience with Python for quantitative research, model development, or analytical workflows.
• Knowledge of financial products, investment instruments, and quantitative methods as applied in trading or risk management contexts.
• Strong written and verbal communication skills, with the ability to convey technical concepts clearly to both quantitative and non-quantitative colleagues.

Beneficial Skills & Qualifications

• Experience working on XVA (Credit, Funding, or Capital Valuation Adjustment) models or supporting an XVA trading desk.
• Familiarity with rates derivatives products and the specific modelling challenges associated with interest rate markets.
• A Master's degree or PhD in a quantitative discipline such as Mathematics, Physics, Financial Engineering, or Computer Science.

What We Offer

At Citi, you will work on problems that matter — contributing to models that underpin decision-making across one of the world's leading financial institutions. The Rates XVA team offers a technically rich environment where strong derivatives knowledge, mathematical depth, and engineering quality are genuinely valued, and where your contributions are visible and impactful from day one.

• A hybrid working arrangement with 3 days in the office and 2 days working remotely, providing flexibility alongside structured team collaboration.
• Exposure to a high-complexity, high-impact quantitative domain at the forefront of derivatives pricing and XVA modelling.
• Ongoing opportunities for technical development and deepening expertise across mathematics, financial modelling, and software engineering.
• Close day-to-day collaboration with experienced traders, structurers, and quants on challenging, real-world financial problems.
• Competitive compensation and access to Citi's broader suite of financial wellbeing and employee support programmes.
• A performance-driven team culture where technical excellence, intellectual curiosity, and sound judgement are recognized and rewarded.

Apply now to bring your quantitative expertise to a role where sophisticated modelling, strong derivatives knowledge, and high-quality code combine to shape risk and pricing decisions at global scale.

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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.

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

Illinois residents – AI Notice and Right

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