Rates XVA Quant

Citi • New York, NY

10d • $150,000 - $175,000 • Onsite

About The Position

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.

Requirements

• 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

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: No Education Listed