Spread Products Cva Quantitative Analyst - Vice President

Citi Handlowy

New York, New York, United States
$142,320.00 - $213,480.00; not specified; medical,...
Xva calculation models
Credit derivatives portfolios
C++ and/or python programming
Develop robust and innovative mathematical models for the calculation of XVA components on portfolios of Credit Derivatives

Job Summary

  • Develop robust and innovative mathematical models for the calculation of XVA components on portfolios of Credit Derivatives.
  • Design and implement efficient numerical methods and algorithms for XVA pricing, risk management, and valuation within our existing quantitative libraries, primarily using C++ and/or Python.
  • Collaborate closely with trading desks, risk management, structuring, and technology teams to understand business requirements, integrate models, and provide quantitative support for real-time decision-making.

Matching Summary

Develop robust and innovative mathematical models for the calculation of XVA components on portfolios of Credit Derivatives.

Salary

$142,320.00 - $213,480.00; Not specified; medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs

Skills & Requirements

Must-have

  • XVA calculation models
  • Credit Derivatives portfolios
  • C++ and/or Python programming
  • Numerical methods and algorithms
  • Quantitative analytics infrastructure

Nice-to-have

  • Continuous research and innovation
  • Collaboration with diverse teams
  • Adherence to best coding practices

Key Requirements

  • Master's or Ph.D. in Quantitative Finance, Mathematics, Physics, or related field
  • 3+ years of quantitative modeling experience
  • Focus on XVA or Credit Derivatives
  • Familiarity with Monte Carlo simulation, finite difference, PDEs

Work Rights

Not specified

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