Quantitative Analyst - Rates XVA, AVP

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

Are you looking to apply your quantitative skills in a high-impact, front-office environment? Citi's XVA Quantitative Analytics team is seeking an AVP-level Quant to help shape and deliver pricing and risk models across our global Rates business. This is an opportunity to work at the intersection of trading, risk, and technology-developing models that directly influence trading decisions, capital allocation, and balance sheet management. At Citi, you'll be part of a global organisation committed to innovation, collaboration, and delivering real-world financial impact.

What you'll do

• 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

What we're looking for

• 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

What sets this role apart

• Direct exposure to front-office trading and decision-making
• Opportunity to work on high-impact XVA models critical to the firm's balance sheet and risk management
• A collaborative environment combining quant research, engineering, and trading expertise
• Clear scope for growth and progression within a global quant platform

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

Time Type: Full time

Primary Location: New York New York United States

Primary Location Full Time Salary Range: $150,000.00 - $175,000.00

In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.

• medical
• dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs

Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

• planned time off (vacation)
• unplanned time off (sick leave)
• paid holidays

For additional information regarding Citi employee benefits, please visit citibenefits.com.

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

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