Rates XVA Quant, 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