Quantitative Analyst – Capital Analytics, AVP Full Time NEW

Team Overview

The Capital Analytics team within Citi’s MQA group in London develops and maintains the firm’s regulatory capital calculation framework for counterparty credit risk. The team produces Standardised Approach for Counterparty Credit Risk (SA-CCR)‑based RWA, Resolution metrics, and Global Systemically Important Banks (G-SIB) indicators across global derivatives and financing portfolios.

Sponsored by the Head of Counterparty Trading and Risk, the team partners closely with Technology to deliver scalable batch systems that generate daily regulatory capital outputs for Front Office, Risk, Resolution Planning, and G-SIB reporting. It also builds high‑performance analytics and trade‑level attribution tools that help Front Office quantify and optimise the capital impact of trading activity.

Role Overview

This role sits within the Capital Analytics function and involves developing quantitative models, analytics, and production systems that support Front Office capital transparency and regulatory capital compliance. It requires strong quantitative and programming skills, as well as the ability to work closely with trading, technology, and control functions.

Responsibilities

• Design, implement, and maintain cross‑asset quantitative analytics supporting regulatory capital frameworks for Markets Front Office, including SA‑CCR, Resolution metrics, and GSIB indicators, using advanced mathematical, statistical, and computer science techniques. Core implementation languages include Python and C++.
• Engineer and optimise capital computation engines and production workflows, ensuring robustness, scalability, and computational efficiency across daily global regulatory capital runs.
• Collaborate closely with trading desks, structurers, and Front Office quants to provide analytics, model insights, trade‑level attribution, and support for capital‑efficient structuring and pricing.
• Partner with control groups such as Model Risk Management, Market Risk, and Compliance to ensure strong governance, model validation, documentation, and adherence to regulatory requirements.
• Assess risk–reward trade‑offs in model development and analytical decisions, reinforcing a culture of prudent risk management and reputational awareness across the team.

Qualifications

• MSc or PhD in a relevant quantitative discipline such as Mathematics, Physics, Engineering, Computer Science, or Quantitative Finance.
• Excellent technical and programming skills in C++ and/or Python, with the ability to write efficient, maintainable, and production‑quality code.
• Financial product knowledge and familiarity with the quantitative methods used in pricing, risk, and analytics.
• Clear and concise communication skills, demonstrated in both written and verbal form, with the ability to explain complex quantitative concepts to diverse stakeholders.

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:

• 27 days annual leave (plus bank holidays)
• A discretional annual performance related bonus
• Private Medical Care & Life Insurance
• 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.

If you are actively working with clients, have a passion for relationships and want to be part of a successful global franchise – then apply today.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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