Quantitative Analyst - Rates XVA, AVP

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. At Citi, you’ll be part of a global organisation committed to innovation, collaboration, and delivering real-world financial impact. 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 #LI-COF ------------------------------------------------------ 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: Aug 09, 2026 ------------------------------------------------------ Automated Processing and AI We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable