VP, Cross-Asset XVA Quant Analyst

Citigroup Inc.; Greater London; On-site; GBP 90,000 - 140,000; Full time

Job summary

Citigroup Inc. in London seeks a highly skilled Quantitative Analyst to join the Central XVA team. You will build analytics for cross-asset XVA functionality and support trading desks, controls, and international clients.

Role emphasizes Monte Carlo methods, probability theory, and numerical techniques, with strong C++ and Python programming, and collaboration across MQA and control functions.

Qualifications

• Relevant experience in a quantitative modeling role in the financial sector with XVA focus.
• Strong knowledge of financial products and quantitative methods, incl. Monte Carlo.
• Excellent written and verbal communication skills.
• MSc or PhD in a quantitative subject; strong programming skills in C++.

Responsibilities

• Create and support analytics for Markets Front Office XVA across multiple asset classes.
• Implement analytics in C++ and Python.
• Provide essential support to trading desks for XVA-related inquiries and models.
• Collaborate with other MQA teams to share best practices across the organization.
• Work with control functions to ensure governance and control infrastructure for XVA analytics.
• Contribute to building a culture of responsible finance, good governance and ethics.

Skills

Quantitative modeling

XVA experience

Monte Carlo methods

Communication skills

C++ programming

MSc/PhD in quantitative field

Education

MSc/PhD in quantitative field

Tools

C++

Python

Job description

Citigroup Inc. in London seeks a highly skilled Quantitative Analyst to join the Central XVA team. You will build analytics for cross-asset XVA functionality and support trading desks, controls, and international clients.

Role emphasizes Monte Carlo methods, probability theory, and numerical techniques, with strong C++ and Python programming, and collaboration across MQA and control functions.