Cross Asset XVA Quantitative Analyst - Assistant Vice President

About the role

Citi is looking for a Quantitative Analyst to join its Markets Quantitative Analysis (MQA) team in London. You will work on X‑Value Adjustment (XVA) analytics that span multiple asset classes, supporting the front‑office trading business and ensuring robust governance.

Key responsibilities

• Create and maintain XVA analytics for the Markets Front Office using probability theory, financial mathematics and numerical techniques.
• Implement analytics in C++ and Python, delivering production‑ready code.
• Provide quantitative support to trading desks and collaborate closely with other MQA teams.
• Partner with control functions to embed appropriate governance, risk assessment and ethical standards.
• Contribute to a culture of responsible finance, expense discipline and strong supervision.

Required profile

• Entry‑level or experienced candidates with quantitative modelling experience in the financial sector, preferably XVA.
• Strong knowledge of financial products and quantitative methods, especially Monte Carlo simulation.
• Excellent written and verbal communication skills.
• MSc or PhD in a quantitative discipline.
• Proficiency in programming, preferably C++.

Required skills

• C++
• Python
• Monte Carlo simulation

What we offer

• Work in a small, high‑impact team on fast‑moving, high‑priority projects.
• Opportunities to solve both technical and practical problems across IT, Risk and Trading.
• Positive financial and social impact initiatives.
• Best‑in‑class employee benefits supporting health, wellbeing and financial security.