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Quantitative Analyst, VP at Citi - ApplyBlast

Quantitative Analyst, VP

Citi

3 months ago

3.6 on Glassdoor

New York, NY

Hybrid

Full Time

Senior

0 applicants

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About this role

A Vice President-level Quantitative Analyst at Citigroup leads the design and implementation of counterparty credit risk models and pricing utilities for the XVA trading desk. The role involves providing strategic guidance on cross-asset pricing frameworks, managing pricing infrastructure, and overseeing risk management for complex derivatives across Interest Rate, FX, Commodity, and Credit spaces. This position also includes liaising with trading desks, optimizing workflows, and mentoring junior staff on model development and coding standards.

Responsibilities

Lead end-to-end design of counterparty credit risk models
Oversee pricing and risk management for complex derivatives
Manage XVA pricing infrastructure and curve calibration
Coordinate SA-CCR and RWA calculations for the trading desk
Mentor junior team members in model development and coding

Skills

Qualifications

Master’s degree in Financial EngineeringMaster’s degree in MathematicsMaster’s degree in StatisticsBachelor’s degree in Financial EngineeringBachelor’s degree in Mathematics

About Citi

citi.com

Company Size

1-10 employees

Founded

2025

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Citibank offers multiple banking services that help you find the right credit cards, open a bank account for checking, & savings, or apply for mortgage & personal loans.