The Quantitative Analyst, VP position at Citigroup Global Markets Inc. focuses on leading the design and implementation of counterparty credit risk models and pricing utilities for the XVA trading desk. This role involves providing strategic guidance on pricing frameworks and managing XVA pricing infrastructure. The analyst will also oversee pricing and risk management for various derivatives while serving as a liaison between the trading desk and project teams. The position requires a strong background in quantitative finance and risk management within a global financial services context.

• Master’s degree in Financial Engineering, Mathematics, Statistics, or related field and 4 years of experience as a Quantitative Analyst or related position, or a Bachelor’s degree with 6 years of progressively responsible experience.
• Experience in data analysis on large financial datasets.
• Proficiency in Python and SQL.
• Knowledge of mathematical finance, statistics, probability, and calculus-based numerical methods.
• 3 years of experience in designing quantitative frameworks and pricing utilities for counterparty credit risk.

• Lead end-to-end design and implementation of counterparty credit risk models and pricing utilities.
• Provide strategic guidance on cross-asset pricing frameworks and structured trade pricing.
• Manage and enhance XVA pricing infrastructure, ensuring tools meet front office and risk management requirements.
• Oversee pricing and risk management for complex derivatives, evaluating hedging strategies.
• Serve as primary liaison for the trading desk, translating business needs into actionable project requirements.

• Citi offers a comprehensive benefits package including competitive pay, stock programs, healthcare coverage, retirement plans, paid time off, parental leave, and programs supporting employee wellbeing and professional development.