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Spread Products CVA Quantitative Analyst

https://www.citi.com/ Logo

Citi

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Location:
United States , New York

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Category:
Finance

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Contract Type:
Not provided

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Salary:

142320.00 - 213480.00 USD / Year
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Job Description:

Vice President, Quantitative Analyst - Spread Products Structured Notes and XVA. This pivotal role involves the development and implementation of advanced mathematical models for calculating XVA (e.g., CVA, DVA, FVA, MVA, KVA) on complex portfolios of Credit Derivatives. This is an exciting opportunity to contribute to cutting-edge financial product development, enhance quantitative analytics infrastructure, and collaborate with diverse teams to deliver innovative solutions in a fast-paced environment.

Job Responsibility:

  • Develop robust and innovative mathematical models for the calculation of XVA components (e.g., CVA, DVA, FVA) on portfolios of Credit Derivatives, encompassing complex structures and bespoke transactions
  • Design and implement efficient numerical methods and algorithms for XVA pricing, risk management, and valuation within our existing quantitative libraries, primarily using C++ and/or Python
  • Enhance and maintain the quantitative analytics infrastructure, ensuring high performance, accuracy, scalability, and adherence to best coding practices
  • Collaborate closely with trading desks, risk management, structuring, and technology teams to understand business requirements, integrate models, and provide quantitative support for real-time decision-making
  • Develop and validate models to ensure compliance with internal standards and external regulatory requirements related to XVA (e.g., Basel III, FRTB, SA-CCR), conducting thorough model testing, validation, and comprehensive documentation for all developed models, adhering to internal governance frameworks and regulatory scrutiny
  • Continuous research and innovation, staying abreast of industry best practices, academic research, and emerging technologies in quantitative finance, particularly concerning XVA and credit modeling, to drive continuous improvement

Requirements:

  • Master's or Ph.D. in Quantitative Finance, Mathematics, Physics, or a related highly quantitative field
  • Proven experience (3+ years) in quantitative modeling within a financial institution, with a significant focus on XVA or Credit Derivatives
  • Expertise in programming languages such as C++ and/or Python is essential, including experience with large-scale quantitative libraries
  • Familiarity with numerical methods (Monte Carlo simulation, finite difference, PDEs) and their application in derivatives pricing
  • Exceptional analytical, problem-solving, and critical thinking abilities
  • Excellent written and verbal communication skills, with the ability to explain complex quantitative concepts to a diverse audience
What we offer:
  • 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
  • discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
April 16, 2026

Employment Type:
Fulltime
Work Type:
Hybrid work
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