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Quantitative Analyst

Citigroup Inc., City of Westminster

Quantitative Analyst

Salary not available. View on company website.

Citigroup Inc., City of Westminster

  • Full time
  • Permanent
  • Remote working

Posted 2 weeks ago, 18 Sep | Get your application in now before you miss out!

Closing date: Closing date not specified

Job ref: 1c2a2dbbdb444bb882d2d84e597e695b

Location ref: City of Westminster

Full Job Description

  • Design and build analytics libraries that support the pricing and risk management of complex financial instruments across the Rates XVA desk.
  • Develop and implement quantitative pricing models using advanced numerical techniques, to enable accurate derivatives valuation.
  • Apply probability-based frameworks and statistical methods to evaluate risk in complex financial contracts, constructing analytical solutions and numerical schemes that address real-world trading challenges.
  • Build and maintain quantitative models for the trading business using a broad range of tools and techniques, in C++ and Python, alongside object-oriented design principles and hardware acceleration.
  • Collaborate directly with traders, structurers, and technology teams to ensure models are fit for purpose, well-integrated, and aligned with business objectives.
  • Partner with control functions including Market and Credit Risk, Model Validation, Audit, Finance and Legal to uphold sound governance and robust model oversight.
  • Assess the risk and reward profile of modelling decisions, ensuring outputs meet the firm's standards for accuracy, transparency, and regulatory compliance.

    Prior experience in a quantitative modelling or analytics role within the financial sector, with demonstrated depth in derivatives pricing or risk management.
  • Proficiency in C++ for developing high-performance analytics and pricing libraries in a production environment.
  • Strong mathematical foundation in statistics, probability theory, and numerical methods, with the ability to solve analytical equations and design numerical schemes for complex financial contracts.
  • Practical experience with Python for quantitative research, model development, or analytical workflows.
  • Knowledge of financial products, investment instruments, and quantitative methods as applied in trading or risk management contexts.
  • Clear and concise written and verbal communication skills, with the ability to convey technical concepts to both quantitative and non-quantitative colleagues.
  • A Master's degree or PhD in a quantitative discipline such as Mathematics, Physics, Financial Engineering, or Computer Science., Experience working on XVA models, including Credit, Funding, or Capital Valuation Adjustment, or supporting an XVA trading desk.
  • Familiarity with rates derivatives products and the specific modelling challenges associated with interest rate markets.
  • Exposure to market data systems and experience integrating market data into quantitative workflows.

    Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 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., At Citi, you will work on problems that matter, contributing to models that underpin decision-making across one of the world's leading financial institutions. The Rates XVA team offers a technically rich environment where mathematical depth, engineering quality, and strong derivatives knowledge are genuinely valued, and where your contributions are visible and impactful from day one.
  • A hybrid working arrangement with 3 days in the office and 2 days working remotely, providing flexibility alongside structured team collaboration.
  • Exposure to a high-complexity, high-impact quantitative domain at the forefront of derivatives pricing and XVA modelling.
  • Ongoing opportunities to deepen expertise across mathematics, financial modelling, and software engineering through challenging, real-world work.
  • Close day-to-day collaboration with experienced traders, structurers, and quants on problems with direct trading floor impact.
  • Competitive compensation and access to Citi's broader suite of financial wellbeing and employee support programmes.
  • A performance-driven team culture where technical excellence, intellectual curiosity, and sound judgement are recognized and rewarded.

Direct job link

https://www.jobs24.co.uk/job/quantitative-analyst-127420060
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