Rates XVA Quantitative Analyst - Pricing & Risk (Hybrid)

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

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).