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Citigroup Global Markets Inc. seeks a Trader, VP-Spread Products XVA Trading for its New York, New York location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Job Responsibility:
Help managing the tasks involving X-Valuation Adjustment (XVA) for Citi’s Spread Products business, including new trade pricing and risk management of existing exposure
Develop, maintain, and enhance quantitative pricing and risk management tools used by the Spread Products XVA desk, by leveraging various interest rates and credit modelling techniques
Use quantitative models to calculate fair value XVAs of the portfolio and its associated risks to various market factors
Analyze XVA P&L to develop optimal hedging strategies and to manage risks from derivatives trading counterparties as well as from Special Purpose Vehicles that issue Structured Notes
Leverage Monte Carlo simulation methodology to model exposure profiles of derivatives under different market scenarios
Conduct scenario analysis and stress test portfolio to assess needs for additional protection against unexpected losses
Understand various regulatory requirements like Basel, SACCR, CCAR and evaluate capital usage for various trade structures
Liaise and coordinate with various stakeholders of Spread Products XVA desk in solving any pricing/risk issue that may arise in production
Collaborate with partners in Markets Quantitative Analysis, Market Risk, Technology, and Financial Control to assess validity of the modeling assumptions, ensure model’s compliance with applicable regulatory requirements, and for effective implementation of the models in XVA infrastructure
Leverage programming languages like Python, VBA and Object-Oriented Programming principles to develop desk tools to facilitate pricing and risk management of trades
Drive the development and enhancement of XVA pricing models for various credit and interest rate products
Requirements:
Master’s degree, or foreign equivalent, in Financial Engineering, Quantitative Analytics, Engineering (any), or related field
3 years of experience as a Trader, Quantitative Analyst, Analyst, Associate or related position involving risk analysis and model development for global financial services institution
Knowledge of Fixed Income cash products and exotic derivatives
Financial mathematics and pricing methodologies
Monte Carlo Simulation, Scenario Analysis, Stochastic Processes
Market data analysis
Statistical, optimization, and regression techniques
Programming languages including Python, Excel, VBA
Object-oriented software design
Quality control framework implementation
Stress testing
Pricing and risk management tools development
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