Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York, New York location.
Duties: Lead end-to-end design and implementation of counterparty credit risk models and pricing utilities for the XVA trading desk across Interest Rate, FX, Commodity, and Credit derivatives. Provide strategic guidance on cross-asset pricing frameworks, structured trade pricing, and hedging strategies for Sales and Trading. Manage and enhance XVA pricing infrastructure, including curve calibration and pricing analytics; ensure tools meet front office and risk management requirements. Oversee pricing and risk management for complex Interest Rate, FX, Commodity, and Credit Derivatives, including evaluation of hedging strategies and incremental business impacts. Serve as primary liaison for the trading desk, translating business needs into actionable project requirements and providing guidance on strategy, risk considerations, and pricing implications. Lead and oversee SA-CCR and RWA calculations for the Global Citi XVA desk and front office users, ensuring alignment with internal risk management and capital allocation policies. Provide guidance on the capital impact of new trades and portfolios. Identify opportunities to optimize workflows, improve reporting, and enhance data-driven decision-making; ensure proper documentation and adherence to model governance standards. Lead design, testing, and deployment of internal applications, coordinate release schedules, and ensure timely resolution of operational issues affecting multiple desks. Coach juniors in model development, coding standards, and analytical best practices; review deliverables for accuracy and adherence to risk guidelines. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Master's degree, or foreign equivalent, in Financial Engineering, Mathematics, Statistics, or related field and 4 years of experience as a Quantitative Analyst, Financial Risk Consultant or related position developing quantitative models for risk management at a global financial services institution. Alternatively, employer will accept a Bachelor degree in the stated fields and 6 years of progressively responsible, post-baccalaureate experience. Full span of experience must include: Data analysis on large financial datasets; Quantitative project management; Automating testing procedures and validation processes for quantitative models and analytical tools, using scalable numerical computation techniques; Python, and SQL; and Mathematical finance, statistics, probability, and calculus-based numerical methods, including Monte Carlo simulation and partial differential equation techniques. Additionally, 3 years of experience must include: Designing quantitative frameworks and pricing utilities for counterparty credit risk and XVA-related analytics; Developing and implementing pricing models for Interest Rate, FX, Commodity, and Credit derivatives; Developing analytics libraries and tools used for derivatives pricing, risk analysis, and trading desk decision-making; Liaising with trading desks, including developing solutions, guiding strategy, risk considerations, and pricing implications; C++; and Regulatory stress testing and capital calculation frameworks, including CCAR, ICAAP, GSST. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #[redacted].
Wage Range: $200,000 to $250,000
Job Family Group: Institutional Trading
Job Family: Quantitative Analysis
Job Family Group:
Job Family:
Time Type:
Full time
Primary Location:
New York New York United States
Primary Location Full Time Salary Range:
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.
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 07, 2026
