at Citi
Bulge Bracket Investment BanksPosted 4 days ago
No clicks
"**Quantitative Analyst - Rates XVA, AVP** drives XVA pricing & risk models for global Rates at Citi. Own XVA model development (CVA, FVA, MVA), libraries, and Monte Carlo simulations. Collaborate with traders and tech teams to deliver scalable solutions. Must have 5+ years in Rates/XVA quant role, strong Python/C++ skills, and financial math foundation. Experience with derivatives pricing and interest rate products. Opportunity to impact balance sheet management and trading decisions."
- Compensation
- $150,000 – $175,000 USD
- City
- New York City
- Country
- United States
Currency: $ (USD)
Full Job Description
Quantitative Analyst - Rates XVA, AVP
Job Req Id:
26970983
Location(s):
New York, New York, United States
Job Type:
Hybrid
Posted:
Jul. 31, 2026
Discover your future at Citi
Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 dedicated people from around the globe. At Citi, youll have the opportunity to grow your career, give back to your community and make a real impact.
Job Overview
What youll 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 were 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 firms 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
#LI-COF
------------------------------------------------------
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, Citis 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.
------------------------------------------------------
Most Relevant Skills
Please see the requirements listed above.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
Anticipated Posting Close Date:
Aug 09, 2026------------------------------------------------------
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( opens in new window)
------------------------------------------------------
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( opens in new window).
View Citis EEO Policy Statement( opens in new window) and the Know Your Rights( opens in new window) poster.
