Rates XVA Quant

About the role

Citi’s XVA Quantitative Analytics team is seeking an AVP-level Quant to help shape and deliver pricing and risk models across our global Rates business.

This is an opportunity to work at the intersection of trading, risk, and technology—developing models that directly influence trading decisions, capital allocation, and balance sheet management.

Responsibilities

• Build and enhance XVA models (CVA, FVA, MVA, etc.) for interest rate derivatives, supporting accurate pricing and risk management
• Develop and maintain quantitative libraries used across trading and risk systems
• Work closely with traders, senior quants, and technology teams to deliver scalable, production-ready solutions
• Implement Monte Carlo simulation and exposure modelling to support valuation and counterparty risk analytics
• Contribute to the full model lifecycle – from research and implementation through to testing, validation, and ongoing enhancement
• Improve model performance and infrastructure, helping scale analytics across large and complex portfolios

Requirements

• Experience in a quantitative modelling or quant dev role, ideally within Rates, derivatives, or XVA
• Strong programming skills in Python and/or C++
• Solid foundation in probability, statistics, and financial mathematics
• Understanding of derivatives pricing and interest rate products
• Familiarity with numerical methods, particularly Monte Carlo simulation
• Strong problem-solving skills with the ability to work in a fast-paced, collaborative environment

Qualifications

• Master's degree in Mathematics, Statistics, Finance, or a related field
• Minimum of 5 years of relevant experience in quantitative modeling or software development
• Proven track record of developing and implementing complex financial models
• Experience with financial market data and instruments
• Experience with financial risk management techniques

Skills

• Python and/or C++ programming skills
• Strong understanding of financial mathematics and derivatives pricing
• Experience with Monte Carlo simulation and exposure modeling
• Excellent problem-solving and analytical skills
• Ability to work in a fast-paced, collaborative environment

Benefits

At Citi, you’ll be part of a global organization committed to innovation, collaboration, and delivering real-world financial impact.

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.