Quantitative Analyst

Citigroup Inc.; United States; Hybrid; USD 150,000 - 250,000; Full time

Benefits offered by this job

Hybrid work arrangement

Job summary

Citigroup Inc. is seeking a quantitative modeller to design analytics libraries and pricing models for the Rates XVA desk. You will implement fast, accurate valuation methods using C++ and Python, with close collaboration with traders and risk teams.

The role emphasizes governance, model validation, and regulatory compliance, requiring a strong mathematical foundation and market-data integration experience. Hybrid work arrangement offered (3 days in office, 2 remote).

Qualifications

• Advanced degree in a quantitative discipline; XVA knowledge preferred.
• Proficient in C++ for high-performance analytics in production.
• Experience with Python for quantitative research and workflows.
• Strong foundation in statistics, probability theory, and numerical methods.
• Familiarity with rates derivatives and market-data integration.

Responsibilities

• Design and build analytics libraries for pricing and risk of complex instruments.
• Develop quantitative pricing models using advanced numerical techniques.
• Apply probability-based frameworks to evaluate risk in complex contracts.
• Collaborate with traders, structurers and technology teams to ensure models fit business needs.
• Partner with control functions to uphold governance and model oversight.
• Assess risk/reward of modelling decisions and ensure regulatory compliance.

Skills

Quantitative modelling

C++

Python

Statistics

Communication

Education

Master's degree or PhD in Mathematics/Physics/Financial Engineering/Computer Science

Tools

In-house pricing libraries

Job description

• Design and build analytics libraries that support the pricing and risk management of complex financial instruments across the Rates XVA desk.

• Develop and implement quantitative pricing models using advanced numerical techniques, to enable accurate derivatives valuation.

• Apply probability-based frameworks and statistical methods to evaluate risk in complex financial contracts, constructing analytical solutions and numerical schemes that address real-world trading challenges.

• Build and maintain quantitative models for the trading business using a broad range of tools and techniques, in C++ and Python, alongside object-oriented design principles and hardware acceleration.

• Collaborate directly with traders, structurers, and technology teams to ensure models are fit for purpose, well-integrated, and aligned with business objectives.

• Partner with control functions including Market and Credit Risk, Model Validation, Audit, Finance and Legal to uphold sound governance and robust model oversight.

• Assess the risk and reward profile of modelling decisions, ensuring outputs meet the firm's standards for accuracy, transparency, and regulatory compliance.

  Prior experience in a quantitative modelling or analytics role within the financial sector, with demonstrated depth in derivatives pricing or risk management.

• Proficiency in C++ for developing high-performance analytics and pricing libraries in a production environment.

• Strong mathematical foundation in statistics, probability theory, and numerical methods, with the ability to solve analytical equations and design numerical schemes for complex financial contracts.

• Practical experience with Python for quantitative research, model development, or analytical workflows.

• Knowledge of financial products, investment instruments, and quantitative methods as applied in trading or risk management contexts.

• Clear and concise written and verbal communication skills, with the ability to convey technical concepts to both quantitative and non-quantitative colleagues.

• A Master's degree or PhD in a quantitative discipline such as Mathematics, Physics, Financial Engineering, or Computer Science., Experience working on XVA models, including Credit, Funding, or Capital Valuation Adjustment, or supporting an XVA trading desk.

• Familiarity with rates derivatives products and the specific modelling challenges associated with interest rate markets.

• Exposure to market data systems and experience integrating market data into quantitative workflows.

  Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 dedicated people from around the globe. At Citi, you'll have the opportunity to grow your career, give back to your community and make a real impact., At Citi, you will work on problems that matter, contributing to models that underpin decision-making across one of the world's leading financial institutions. The Rates XVA team offers a technically rich environment where mathematical depth, engineering quality, and strong derivatives knowledge are genuinely valued, and where your contributions are visible and impactful from day one.

• A hybrid working arrangement with 3 days in the office and 2 days working remotely, providing flexibility alongside structured team collaboration.

• Exposure to a high-complexity, high-impact quantitative domain at the forefront of derivatives pricing and XVA modelling.

• Ongoing opportunities to deepen expertise across mathematics, financial modelling, and software engineering through challenging, real-world work.

• Close day-to-day collaboration with experienced traders, structurers, and quants on problems with direct trading floor impact.

• Competitive compensation and access to Citi's broader suite of financial wellbeing and employee support programmes.

• A performance-driven team culture where technical excellence, intellectual curiosity, and sound judgement are recognized and rewarded.