Quantitative Analyst, VP

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.

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;
• 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++;
• Regulatory stress testing and capital calculation frameworks, including CCAR, ICAAP, GSST.

Other Relevant Skills

Please see the requirements listed above.

Anticipated Posting Close Date

Aug 07, 2026