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.
Responsibilities
- 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 models for XVA and OCM businesses leveraging 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, ensuring that all team members understand the need to do the same and demonstrate 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, ensuring all team members understand the same.
- Adhere to all policies and procedures as defined by the role, which will be communicated to you.
- Driving compliance with applicable laws, rules and regulations; applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.
Qualifications
- Experience in a comparable quantitative modelling, development or analytics role, ideally in the financial sector.
- Strong technical and programming skills in C++ and 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; and knowledge of software design and principles.
- Any level of product knowledge of investments and quantitative methods.
- Consistently demonstrates clear and concise written and verbal communication skills.
Benefits
- Competitive base salary, annually reviewed.
- Hybrid working model (up to 2 days working at home per week).
- Generous holiday allowance starting at 27 days plus bank holidays, increasing with tenure.
- A discretionary annual performance‑related bonus.
- Private medical insurance packages tailored to 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.
