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Citi Logo Citi · IT - Software Development

Counterparty Credit Quantitative Analyst (Assistant Vice President)

United Kingdom, London · Job Posted June 16, 2026
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Job Responsibility

  • Develop analytics libraries used for pricing and risk-management in the scope of CVA and DVA
  • Collaborate closely with quantitative analysis colleagues and the desks
  • Create, implement and support quantitative model for XVA and OCM businesses leveraging a wide variety of mathematical and computer science methods including advanced calculus, C++, object-oriented design, Python, mathematical finance, statistics, probability and Machine Learning
  • Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
  • Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
  • Appropriately assess risk/reward of developments when making business decisions
  • and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation
  • Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services
  • and ensure that all team members understand the need to do the same
  • Adhere to all policies and procedures as defined by your role which will be communicated to you
  • Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

Requirements

  • Experience in a comparable quantitative modelling, development or analytics role, ideally in the financial sector
  • Must have strong technical/programming skills
  • C++/python
  • Exposure to Market Data
  • Statistics and Probability based calculations
  • Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts
  • Software design and principles
  • Must also possess any level of product knowledge, Investments and Quantitative Methods
  • Consistently demonstrates clear and concise written and verbal communication skills

What we offer

  • Generous holiday allowance starting at 27 days plus bank holidays
  • increasing with tenure
  • A discretional annual performance related bonus
  • Private medical insurance packages to suit your personal circumstances
  • Employee Assistance Program
  • Pension Plan
  • Paid Parental Leave
  • Special discounts for employees, family, and friends
  • Access to an array of learning and development resources
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