Model/Anlys/Valid Sr Analyst

Citibank (Switzerland) AG; New York (NY); Hybrid; Confidential; Full time

Job summary

Citigroup Global Markets Inc. in New York is seeking a Model/Analysis/Valid Sr Analyst to develop and validate pricing models for exotic interest rate derivatives, working with traders, structurers and technology teams.

You will train junior analysts and contribute to governance, risk management, and model validation efforts. The role emphasizes C++, Python, and quantitative methods, with a hybrid telecommuting option within a commutable distance from the New York site.

Qualifications

• Master’s degree in Quantitative & Computational Finance, Financial Engineering or related field.
• 3 years of experience in derivative pricing model development and risk management support in a global financial services institution.
• Experience with derivative pricing models using C++, probability and stochastic processes including measure theory; exotic derivatives; Monte Carlo methods and PDE solvers.

Responsibilities

• Provide training to junior quantitative analysts on model methods and techniques.
• Collaborate with Traders, Structurers, and technology professionals.
• Create, implement and support quantitative models for the trading business using Python, C++, and other tools.
• Apply probability and stochastic methods to develop pricing models for risk management and daily P&L control.
• Coordinate with risk and control functions to test and document model performance and governance.

Skills

C++

C#

.NET

Python

SQL

Quantitative finance

Monte Carlo

PDE solvers

Stochastic calculus

Education

Master's degree in Quantitative & Computational Finance

Tools

C++

C#

.NET

Python

SQL

Job description

## Model/Anlys/Valid Sr AnalystApplyremote type: Hybridlocations: New York New York United Statestime type: Full timeposted on: Posted Todaytime left to apply: End Date: August 28, 2026 (30+ days left to apply)job requisition id: 26972170Citigroup Global Markets Inc. seeks a Model/Analysis/Valid Sr Analyst for its New York, New York location.Duties: Provide training to junior quantitative analysts on model methods and techniques used to develop, maintain and improve financial models used for the pricing of exotic interest rate derivatives. Collaborate and interface with Traders, Structurers, and technology professionals. Create, implement and support quantitative models for the trading business leveraging mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C#, .NET, object-oriented software design, Python, SQL, mathematical finance, programming, statistics and probability. Apply knowledge of probability and stochastics to develop mathematical models for the pricing of interest rate derivatives which are suitable for daily risk management. Work with trading function to risk manage the portfolio of interest rate derivatives and respond to new client requests. Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers. Work with control functions including Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure. Coordinate with risk and control functions to test and document performance of interest rate derivative models. Contribute to a culture of responsible finance, good governance, expense discipline and ethics. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.Requirements: Requires a Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field and 3 years of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support in a global financial services institution. 3 years of experience must include: Derivative pricing models development using C++; Probability and stochastics including Measure Theory; Interest rate modelling; Exotic derivative products; Monte Carlo Methods and partial differential equation solvers; Stochastic calculus; and Python programming. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26972170. EO Employer.Wage Range: $160,000 to $175,000Job Family Group: Risk ManagementJob Family: Model Development and Analytics------------------------------------------------------## **Job Family Group:**------------------------------------------------------## **Job Family:**------------------------------------------------------## **Time Type:**Full time------------------------------------------------------## **Primary Location:**New York New York United States------------------------------------------------------## **Primary Location Full Time Salary Range:**In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.------------------------------------------------------## **Most Relevant Skills**Please see the requirements listed above.------------------------------------------------------## **Other Relevant Skills**For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------## **Anticipated Posting Close Date:**Aug 28, 2026------------------------------------------------------## **Automated Processing and AI** We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.Illinois residents – AI Notice and Right------------------------------------------------------*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.*