Job Description

Vice President, Quantitative Analyst - Spread Products Structured Notes and XVA

Citi's Markets business is a leading global financial institution, providing comprehensive financial services to clients worldwide. Within this dynamic environment, our Markets Quantitative Analytics team plays a critical role in developing cutting-edge analytical solutions and models that drive our trading and risk management capabilities across various asset classes. This role offers the opportunity to contribute directly to the innovation and strategic growth within this essential part of our organization.

We are seeking a highly skilled and experienced Vice President, Quantitative Analyst, to join our Spread Products Structured Notes and XVA team. This pivotal role involves the development and implementation of advanced mathematical models for calculating XVA (e.g., CVA, DVA, FVA, MVA, KVA) on complex portfolios of Credit Derivatives. This is an exciting opportunity to contribute to cutting-edge financial product development, enhance quantitative analytics infrastructure, and collaborate with diverse teams to deliver innovative solutions in a fast-paced environment.

Primary Responsibilities

The primary responsibilities for this role include:

• Develop robust and innovative mathematical models for the calculation of XVA components (e.g., CVA, DVA, FVA) on portfolios of Credit Derivatives, encompassing complex structures and bespoke transactions.
• Design and implement efficient numerical methods and algorithms for XVA pricing, risk management, and valuation within our existing quantitative libraries, primarily using C++ and/or Python.
• Enhance and maintain the quantitative analytics infrastructure, ensuring high performance, accuracy, scalability, and adherence to best coding practices.
• Collaborate closely with trading desks, risk management, structuring, and technology teams to understand business requirements, integrate models, and provide quantitative support for real-time decision-making.
• Develop and validate models to ensure compliance with internal standards and external regulatory requirements related to XVA (e.g., Basel III, FRTB, SA-CCR), conducting thorough model testing, validation, and comprehensive documentation for all developed models, adhering to internal governance frameworks and regulatory scrutiny.
• Continuous research and innovation, staying abreast of industry best practices, academic research, and emerging technologies in quantitative finance, particularly concerning XVA and credit modeling, to drive continuous improvement.

Qualifications

• Education:Master's or Ph.D. in Quantitative Finance, Mathematics, Physics, or a related highly quantitative field.
• Experience:Proven experience (3+ years) in quantitative modeling within a financial institution, with a significant focus on XVA or Credit Derivatives.
• Technical Skills:Expertise in programming languages such as C++ and/or Python is essential, including experience with large-scale quantitative libraries. Familiarity with numerical methods (Monte Carlo simulation, finite difference, PDEs) and their application in derivatives pricing.
• Analytical & Communication Skills:Exceptional analytical, problem-solving, and critical thinking abilities. Excellent written and verbal communication skills, with the ability to explain complex quantitative concepts to a diverse audience.

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$142,320.00 - $213,480.00

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.

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Apr 09, 2026

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