Cross-asset XVA Quantitative Analyst, VP

4 days ago

London, Greater London, United Kingdom Citigroup Global Markets Limited Full time

Role Overview



At Citigroup Global Markets Limited, we are seeking a talented Quantitative Analyst to join our Markets Quantitative Analysis team. This role will provide the opportunity to work in a fast-paced environment with a focus on cross-asset XVA modeling.



As a Senior Quantitative Analyst, you will be responsible for creating and supporting analytics for Markets Front Office XVA across multiple asset classes using probability theory, financial mathematics, and numerical techniques. You will also implement these analytics in C++ and Python.



Key responsibilities include supporting trading desks, collaborating with other MQA teams, and working in partnership with control functions to ensure appropriate governance and control infrastructure.



Requirements



To be successful in this role, you will need:





  • Experience in a comparable quantitative modeling or analytics role in the financial sector, with XVA experience being especially valuable.

  • Knowledge of financial products and related quantitative methods, especially Monte Carlo simulation.

  • Programming skills in C++ and Python.

  • Clear and concise written and verbal communication skills.

  • MSc or PhD degree in a quantitative subject.



What We Offer



This role offers a unique opportunity to work in a small team on fast-moving projects, collaborate with other teams, and interact with IT, Risk, and Trading stakeholders. We also offer a range of benefits, including a competitive base salary, discretionary annual performance-related bonus, and private medical insurance.



About Us



Citigroup Global Markets Limited is committed to diversity and inclusion and is an equal opportunities employer. We welcome applications from talented individuals from a variety of backgrounds and experiences.

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