The Company is seeking a Quantitative Analyst to join its Rates XVA desk. The successful candidate will be responsible for designing and building advanced pricing and risk models that have a direct impact on the valuation and management of complex derivative portfolios. This role requires a deep understanding of advanced mathematics, high-performance software engineering, and financial markets. The Quantitative Analyst will work closely with a performance-driven team, including traders, structurers, and technologists, to deliver quantitative solutions at scale. Key responsibilities include the development of analytics libraries, quantitative pricing models, and the application of statistical methods to evaluate risk in financial contracts. The role also involves ensuring that models are well-integrated, aligned with business objectives, and meet the firm's standards for accuracy and regulatory compliance. Applicants must have prior experience in a quantitative modeling or analytics role within the financial sector, with a focus on derivatives pricing or risk management. Proficiency in C++ and Python is essential, as is a strong mathematical foundation in statistics, probability theory, and numerical methods. A Master's degree or PhD in a quantitative discipline is required. Beneficial skills include experience with XVA models, familiarity with rates derivatives products, and exposure to market data systems. The ideal candidate will have clear communication skills, the ability to work in a high-impact, quantitative domain, and a strong commitment to technical excellence and intellectual curiosity.

Hiring Company

Citi