Citigroup, Inc

Rates XVA Quant, AVP

Citigroup, Inc$150K — $175K *
Finance & Insurance
Less than 5 years of experience
Job Overview by Ladders

Qualifications

  • 5-7 years of experience in quantitative modeling or development, preferably in Rates or XVA
  • Strong programming proficiency in Python and/or C++
  • Solid grounding in probability, statistics, and financial mathematics
  • Knowledge of derivatives pricing and interest rate products
  • Experience with numerical methods, especially Monte Carlo simulation
  • Excellent problem-solving capabilities for fast-paced teamwork

Responsibilities

  • Build and enhance XVA models (CVA, FVA, MVA) for interest rate derivatives
  • Develop and maintain quantitative libraries across trading and risk systems
  • Collaborate with traders and technology teams on scalable solutions
  • Implement Monte Carlo simulation and modeling for valuation and risk analytics
  • Contribute through the model lifecycle from research to validation
  • Enhance model performance and infrastructure for large portfolios

Benefits

  • Medical, dental & vision coverage
  • 401(k) retirement plan
  • Life, accident, and disability insurance
  • Wellness programs
  • Paid time off including vacation and sick leave
  • Paid holidays
Full Job Description
Are you looking to apply your quantitative skills in a high-impact, front-office environment? Citi's XVA Quantitative Analytics team is seeking an AVP-level Quant to help shape and deliver pricing and risk models across our global Rates business.

This is an opportunity to work at the intersection of trading, risk, and technology-developing models that directly influence trading decisions, capital allocation, and balance sheet management.

What you'll 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 we're 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 firm's 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


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, 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:
Jun 14, 2026

About Citigroup, Inc

Citigroup is a financial services holding company that provides financial products and services. The company operates through two segments, Global Consumer Banking (GCB) and Institutional Clients Group (ICG). The GCB segment offers traditional banking services to retail customers through retail banking, commercial banking, Citi-branded cards, and Citi retail services. The ICG segment offers various banking, and financial products and services to corporate, institutional, public sector, and high-net-worth clients. This segment provides wholesale banking products and services, including fixed-income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed-income research, corporate lending, investment banking, and advisory services, private banking, cash management, trade finance, and securities services. Citi is committed to sustainability and social responsibility, and the company invests in initiatives that promote economic progress.

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Learn more about Citigroup, Inc
Market Cap
$1.3 billion
Industry
Net Income
$89.6 million
Founded
1812
5 Year Trend
+4.6%
NASDAQ

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