Assistant Vice President – Counterparty Credit Quantitative Analyst

About the role

Citi is seeking an Assistant Vice President to join the Counterparty Credit QA team within the Generic Curves and Markets Funding (GCMF) group. The role focuses on supporting the XVA and OCM desks by developing quantitative models and analytics for CVA and DVA risk management.

Key responsibilities

• Develop analytics libraries used for pricing and risk‑management of CVA and DVA.
• Collaborate closely with quantitative analysts and trading desks to implement model solutions.
• Create, implement and support quantitative models for XVA and OCM businesses.
• Design pricing models using numerical techniques such as Monte Carlo methods and PDE solvers.
• Promote a culture of responsible finance, good governance and ethical conduct.
• Assess risk/reward of developments and ensure compliance with Citi’s Code of Conduct and supervision policies.

Required profile

• Strong analytical and problem‑solving abilities.
• Excellent communication skills for interaction with business partners.
• Experience working on quantitative finance projects within a banking environment.
• Understanding of risk management principles and regulatory requirements.

Required skills

• C++ programming
• Python programming
• Advanced calculus and mathematical finance
• Object‑oriented design
• Statistics and probability
• Machine learning techniques
• Monte Carlo simulation methods
• Partial differential equation solvers