Cross Asset XVA Quantitative Analyst - Assistant Vice President

Citigroup Inc.; Greater London; On-site; GBP 60,000 - 95,000; Full time

Benefits offered by this job

Holiday allowance 27+ days+

Annual bonus

Private medical insurance

Employee Assistance Program

Pension plan

Paid parental leave

Exclusive discounts

Job summary

Citi London is seeking a Markets Quantitative Analyst to build analytics for XVA and support trading desks across asset classes. You will implement methods in C++ and Python, collaborating with MQA teams and control functions in a fast-moving financial environment.

The role emphasizes strong quantitative skills, Monte Carlo methods, and clear communication. A Master’s or PhD in a quantitative field is preferred, with hybrid work up to two days from home per week.

Qualifications

• This can be an entry level role, although experience in a comparable quantitative modelling role in the financial sector, especially in XVA, is valuable.
• Knowledge of financial products and related quantitative methods, especially Monte Carlo simulation.
• Clear and concise written and verbal communication skills.
• An MSc or PhD degree in a quantitative subject.
• Skill in programming, preferably in C++.

Responsibilities

• Create and support analytics for Markets Front Office XVA across multiple asset classes using probability theory, financial mathematics, and numerical techniques.
• Implement these analytics in C++, also using Python.
• Support trading desks.
• Collaborate closely with other MQA teams.
• Work in partnership with control functions to ensure appropriate governance and control infrastructure.
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.

Skills

Analytical thinking

Quantitative methods

Monte Carlo simulation

Communication skills

C++ programming

Python programming

Education

Master of Science or PhD in a quantitative subject

Tools

C++

Python

Job description

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi’s Markets Quantitative Analysis team.

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Role Overview

Markets Quantitative Analysis (MQA) builds innovative solutions to the most complex financial problems facing our trading businesses, control functions and international client base. Central XVA (X-Value Adjustment) is a small team working on important XVA functionality that cuts across asset classes.

What you will do

• Create and support analytics for Markets Front Office XVA across multiple asset classes using probability theory, financial mathematics, and numerical techniques.
• Implement these analytics in C++, also using Python.
• Support trading desks.
• Collaborate closely with other MQA teams.
• Work in partnership with control functions to ensure appropriate governance and control infrastructure.
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.

What we will need from you

• This can be an entry level role, although experience in a comparable quantitative modelling role in the financial sector, especially in XVA, is valuable.
• Knowledge of financial products and related quantitative methods, especially Monte Carlo simulation.
• Clear and concise written and verbal communication skills.
• An MSc or PhD degree in a quantitative subject.
• Skill in programming, preferably in C++.

What we can offer you

This role provides the opportunity to work in a small team on fast-moving, high-priority projects. You will solve both technical and practical problems, collaborate with other Markets Quantitative Analysis teams, and interact with IT, Risk and Trading stakeholders.

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (reviewed annually), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure.
• Discretional annual performance related bonus
• Private medical insurance packages to suit your personal circumstances.
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Exclusive discounts for employees, family, and friends
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

Job Family Group

Risk Management

Job Family

Model Development and Analytics

Time Type

Full time

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

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.