Spread Products Cva Quantitative Analyst - Vice President

Citi

New York, New York, United States
Base: $142,320.00 - $213,480.00; bonus/equity: dis...
Xva modeling expertise
C++ and python programming
Credit derivatives experience
This role involves developing robust mathematical models for calculating XVA components on complex portfolios of Credit Derivatives

Job Summary

  • This role involves developing robust mathematical models for calculating XVA components on complex portfolios of Credit Derivatives.
  • The successful candidate will design efficient numerical methods using C++ and Python to enhance quantitative analytics infrastructure.
  • Citi offers competitive benefits including medical, dental, vision coverage, 401(k), and paid time off packages.

Matching Summary

This role involves developing robust mathematical models for calculating XVA components on complex portfolios of Credit Derivatives.

Salary

Base: $142,320.00 - $213,480.00; Bonus/Equity: Discretionary and formulaic incentive awards available; Benefits: Medical, dental, vision, 401(k), life insurance, wellness programs

Skills & Requirements

Must-have

  • XVA modeling expertise
  • C++ and Python programming
  • Credit derivatives experience
  • Monte Carlo simulation methods
  • Basel III regulatory compliance

Nice-to-have

  • Strong communication skills
  • Continuous research innovation
  • Collaborative team environment
  • Advanced numerical algorithms

Key Requirements

  • Master's or Ph.D. in Quantitative Finance
  • 3+ years in quantitative modeling
  • Experience with XVA or Credit Derivatives

Work Rights

Not specified

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