Assistant Vice President, Markets Quantitative Analyst

About the role

Citi is seeking an Assistant Vice President to join its Markets Quantitative Analytics team in London. You will work closely with the Equities, XVA and OCM desks to develop and maintain models that support pricing, risk management and regulatory compliance.

Key responsibilities

• Design and implement analytics libraries for CVA and DVA pricing and risk management.
• Collaborate with quantitative analysts and trading desks to translate business needs into robust models.
• Develop and maintain XVA and OCM quantitative models using advanced mathematical techniques.
• Build and validate pricing models employing Monte Carlo simulations and PDE solvers.
• Promote responsible finance practices, governance and ethical standards across the team.

Required profile

• Strong academic background in mathematics, physics, engineering or a related quantitative discipline.
• Proven experience in quantitative finance, preferably on XVA, CVA or DVA projects.
• Ability to communicate complex technical concepts clearly to both technical and non‑technical stakeholders.
• Commitment to compliance, risk awareness and Citi’s Code of Conduct.

Required skills

• C++ programming
• Python programming
• Machine Learning techniques applied to finance
• Monte Carlo simulation methods
• Partial Differential Equation solvers
• Statistical analysis and probability theory