Cross-Asset XVA Quant - VP for High-Impact Analytics

Citi; Greater London; On-site; GBP 120,000 - 160,000; Full time

Job summary

Citi's Markets Quantitative Analysis (MQA) group seeks a highly skilled Quantitative Analyst to tackle complex financial problems. The Central XVA team focuses on cross-asset XVA functionality, enhancing pricing, risk management, and regulatory compliance with impact across trading desks and international clients.

You will build analytics in C++ and Python, support front office users, and collaborate with other MQA teams and control functions to ensure governance and robust analytics within a

Qualifications

• Experience in quantitative modeling in finance, with XVA-related work valued.

Responsibilities

• Create and support analytics for Markets Front Office XVA across asset classes using probability theory and numerical methods.
• Implement analytics in C++ and Python for development.
• Provide essential support to trading desks for XVA inquiries and models.
• Collaborate with MQA teams to ensure consistency and share best practices.

Skills

Analytical thinking

Governance

Data analysis

Regulation

Policy

Procedure

and Regulation

Risk management lifecycle

Education

MSc or PhD in quantitative subject

Tools

C++

Python

Job description

Citi's Markets Quantitative Analysis (MQA) group seeks a highly skilled Quantitative Analyst to tackle complex financial problems. The Central XVA team focuses on cross-asset XVA functionality, enhancing pricing, risk management, and regulatory compliance with impact across trading desks and international clients.

You will build analytics in C++ and Python, support front office users, and collaborate with other MQA teams and control functions to ensure governance and robust analytics within a