Cross Asset XVA Quantitative Analyst – Vice President

About the role

Citi’s Markets Quantitative Analysis (MQA) group is seeking a Vice President‑level Quantitative Analyst to join its Central XVA team in London. The role focuses on developing and supporting cross‑asset XVA analytics that drive pricing, risk management and regulatory compliance for the bank’s trading businesses.

Key responsibilities

• Create and maintain XVA analytics for the front‑office across multiple asset classes using probability theory, financial mathematics and numerical techniques.
• Implement models in C++ and support development work in Python.
• Provide day‑to‑day support to trading desks for XVA‑related inquiries and model validation.
• Collaborate with other MQA teams to ensure model consistency and share best practices.
• Work with control functions to embed appropriate governance, oversight and expense discipline.

Required profile

• Relevant experience in quantitative modeling within the financial sector, preferably with XVA exposure.
• Strong understanding of financial products and quantitative methods, especially Monte Carlo simulation.
• Excellent written and verbal communication skills.
• MSc or PhD in a quantitative discipline.

Required skills

• C++ programming
• Python programming
• Monte Carlo simulation techniques

What we offer

• High‑impact role influencing cross‑asset XVA functionality.
• Opportunity to work within a small, influential team at a global institution.
• Access to Citi’s extensive resources, learning programs and career development pathways.