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
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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. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
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.
Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View Citi’s EEO Policy Statement and the Know Your Rights poster.
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