Vice President – Counterparty Credit Quantitative Analyst

About the role

Join Citi's XVA and OCM desks within the Counterparty Credit QA team, supporting the Generic Curves and Markets Funding (GCMF) group. The AVP role focuses on developing analytics libraries for pricing and risk‑management of CVA and DVA.

Key responsibilities

• Develop analytics libraries used for pricing and risk‑management of CVA and DVA.
• Collaborate closely with quantitative analysis colleagues and the business desks.
• Create, implement and support quantitative models for XVA and OCM leveraging advanced calculus, C++, object‑oriented design, Python, mathematical finance, statistics, probability and Machine Learning.
• Develop pricing models using numerical techniques, including Monte Carlo methods and partial differential equation solvers.
• Promote a culture of responsible finance, good governance, expense discipline and ethics.
• Assess risk/reward of developments and ensure compliance with Citi’s Code of Conduct and relevant policies.

Required profile

• Strong modelling, problem‑solving and communication skills.
• Ability to work collaboratively with business desks and quantitative teams.
• Commitment to responsible finance, governance and regulatory compliance.

Required skills

• C++ programming
• Python programming
• Advanced calculus
• Object‑oriented design
• Mathematical finance
• Statistics and probability
• Machine Learning
• Monte Carlo methods
• Partial differential equation solvers