Quantitative Analyst - Rates XVA, AVP

Job ID: 98588459712Posted: 2026-08-01Location: New York, New York, United StatesSalary: $150,000.00 - $175,000.00Category: Institutional TradingCompany: CitiAre 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 doBuild and enhance XVA models (CVA, FVA, MVA, etc.) for interest rate derivatives, supporting accurate pricing and risk managementDevelop and maintain quantitative libraries used across trading and risk systemsWork closely with traders, senior quants, and technology teams to deliver scalable, production-ready solutionsImplement Monte Carlo simulation and exposure modelling to support valuation and counterparty risk analyticsContribute to the full model lifecycle – from research and implementation through to testing, validation, and ongoing enhancementImprove model performance and infrastructure, helping scale analytics across large and complex portfoliosWhat we’re looking forExperience in a quantitative modelling or quant dev role, ideally within Rates, derivatives, or XVAStrong programming skills in Python and/or C++Solid foundation in probability, statistics, and financial mathematicsUnderstanding of derivatives pricing and interest rate productsFamiliarity with numerical methods, particularly Monte Carlo simulationStrong problem-solving skills with the ability to work in a fast-paced, collaborative environmentWhat sets this role apartDirect exposure to front-office trading and decision-makingOpportunity to work on high-impact XVA models critical to the firm’s balance sheet and risk managementA collaborative environment combining quant research, engineering, and trading expertiseClear 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 - $175,000.00In 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 AIWe 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 roles at Citi.Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.Illinois residents – AI Notice and Right------------------------------------------------------Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.View Citi’s EEO Policy Statement and the Know Your Rights poster.