Counterparty Credit Quantitative Analyst

Within the wider Counterparty Credit QA team, the Generic Curves and Markets Funding (GCMF) is looking to fill an AVP position to support the XVA and OCM businesses. The team helps Citi manage the CVA risk to illiquid counterparties as well as Citi's own DVA. There's a direct day-to-day collaboration with the business in addition to medium to long term projects related to improving our modelling and our risk management tools. What you'll do:

• Develop analytics libraries used for pricing and risk-management in the scope of CVA and DVA
• Collaborate closely with quantitative analysis colleagues and the desks
• Create, implement and support quantitative model for XVA and OCM businesses leveraging a wide variety of mathematical and computer science methods including advanced calculus, C++, object-oriented design, Python, mathematical finance, statistics, probability and Machine Learning,
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
• Appropriately assess risk/reward of developments when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation.
• Be familiar with and adhere to Citi's Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
• Adhere to all policies and procedures as defined by your role which will be communicated to you
• Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.
  
  Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in modelling, problem solving and communication to Citi XVA and OCM desks., Experience in a comparable quantitative modelling, development or analytics role, ideally in the financial sector
• Must have strong technical/programming skills; C++/python, Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
• Must also possess any level of product knowledge, Investments and Quantitative Methods
• Consistently demonstrates clear and concise written and verbal communication skills
  
  Working at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you'll have the opportunity to grow your career, give back to your community and make a real impact., By Joining Citi, you will become part of a global organization whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
  
  By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:
• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
• A discretional annual performance related bonus
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources
Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.