Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York, New York location.

Duties: Lead end-to-end design and implementation of counterparty credit risk models and pricing utilities for the XVA trading desk across Interest Rate, FX, Commodity, and Credit derivatives. Provide strategic guidance on cross-asset pricing frameworks, structured trade pricing, and hedging strategies for Sales and Trading. Manage and enhance XVA pricing infrastructure, including curve calibration and pricing analytics; ensure tools meet front office and risk management requirements. Oversee pricing and risk management for complex Interest Rate, FX, Commodity, and Credit Derivatives, including evaluation of hedging strategies and incremental business impacts. Serve as primary liaison for the trading desk, translating business needs into actionable project requirements and providing guidance on strategy, risk considerations, and pricing implications. Lead and oversee SA-CCR and ...