Spread Products Cva Quantitative Analyst - Vice President

Citi Handlowy

New York, New York, United States
Base: $142,320.00 - $213,480.00; bonus/equity: dis...
Xva modeling and calculation
Credit derivatives expertise
C++ and python programming
This role offers the opportunity to contribute directly to the innovation and strategic growth within Citi's Markets Quantitative Analytics team

Job Summary

  • This role offers the opportunity to contribute directly to the innovation and strategic growth within Citi's Markets Quantitative Analytics team.
  • The position involves developing robust mathematical models for XVA components on complex portfolios of Credit Derivatives and enhancing quantitative analytics infrastructure.
  • Citi offers competitive employee benefits including medical, dental & vision coverage, 401(k), insurance, wellness programs, and paid time off packages.

Matching Summary

This role offers the opportunity to contribute directly to the innovation and strategic growth within Citi's Markets Quantitative Analytics team.

Salary

Base: $142,320.00 - $213,480.00; Bonus/Equity: discretionary and formulaic incentive and retention awards; Benefits: medical, dental & vision coverage, 401(k), insurance, wellness programs, paid time off

Skills & Requirements

Must-have

  • XVA modeling and calculation
  • Credit Derivatives expertise
  • C++ and Python programming
  • Numerical methods for derivatives pricing
  • Quantitative analytics infrastructure
  • Model validation and regulatory compliance

Nice-to-have

  • Collaboration with trading and risk teams
  • Continuous research and innovation
  • Strong analytical and communication skills

Key Requirements

  • Master's or Ph.D. in Quantitative Finance or related field
  • 3+ years experience in quantitative modeling in financial institutions
  • Expertise in C++ and/or Python programming
  • Experience with Monte Carlo simulation and PDE numerical methods
  • Knowledge of Basel III, FRTB, SA-CCR regulatory frameworks

Work Rights

Not specified

Tailored Resume

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