Senior XVA Quant – Rates & Derivatives

Citi; Greater London; Hybrid; GBP 120,000 - 180,000; Full time

Benefits offered by this job

Hybrid working arrangement (3 days in,

2 days remote)

Competitive compensation

Job summary

Citi in London seeks a Quantitative Analyst to join the Rates XVA desk. You will design and build pricing and risk models for derivatives, blending advanced mathematics with high-performance software engineering to impact valuation and risk across trading portfolios.

The role sits in a hybrid environment, collaborating with traders, structurers and technologists to deliver scalable quantitative solutions while upholding governance and regulatory standards.

Qualifications

• Advanced degree in a quantitative discipline with strong mathematical background.
• Experience in derivatives pricing or risk management in a production setting.
• Proficiency in C++ for high-performance analytics.

Responsibilities

• Design and build analytics libraries for pricing and risk of complex instruments.
• Develop quantitative pricing models using advanced numerical techniques.
• Apply statistical methods to evaluate risk in trading contracts.
• Build models in C++ and Python with OO design and hardware acceleration.
• Collaborate with traders, structurers and technologists to ensure fit-for-purpose models.
• Engage with Risk, Validation, Audit, Finance and Legal for governance.

Skills

C++ development

Python for research

Quantitative modelling

Statistics

Derivatives pricing

Communication

Education

Master's degree

PhD (preferred)

Tools

Git

Linux

Job description

Citi in London seeks a Quantitative Analyst to join the Rates XVA desk. You will design and build pricing and risk models for derivatives, blending advanced mathematics with high-performance software engineering to impact valuation and risk across trading portfolios.

The role sits in a hybrid environment, collaborating with traders, structurers and technologists to deliver scalable quantitative solutions while upholding governance and regulatory standards.