Front-Office Rates XVA Quant Developer

Aplaro Ltd; New York (NY); On-site; USD 150,000 - 175,000; Full time

Benefits offered by this job

Medical

Dental & Vision

401(k)

Life, disability insurance

Wellness programs

Paid time off

Paid holidays

Job summary

Citi is seeking an AVP-level Quant in New York to shape and deliver pricing and risk models for the Rates business. You will work at the interface of trading, risk, and technology, developing models that influence trading decisions, capital allocation, and balance sheet management.

Responsibilities include building XVA models (CVA, FVA, MVA), maintaining libraries, and collaborating with traders and tech teams to deploy scalable solutions.

Qualifications

• 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.

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.

Skills

Python

C++

Probability & Statistics

Financial Mathematics

Derivatives Pricing

Monte Carlo Simulation

Problem-Solving

Team Collaboration

Job description

Citi is seeking an AVP-level Quant in New York to shape and deliver pricing and risk models for the Rates business. You will work at the interface of trading, risk, and technology, developing models that influence trading decisions, capital allocation, and balance sheet management.

Responsibilities include building XVA models (CVA, FVA, MVA), maintaining libraries, and collaborating with traders and tech teams to deploy scalable solutions.