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Front Office Quantitative Analyst – XVA & Capital Modelling
Geneva, Switzerland
Cititec are partnered with a leading commodities trading firm seeking a Risk Quantitative Analyst to join their Geneva-based team. This role focuses on the development and implementation of XVA and capital models, supporting front office and risk functions with advanced quantitative analytics.
Key Responsibilities
- Develop, enhance, and maintain XVA models (CVA, DVA, FVA, etc.) across commodities portfolios
- Design and implement capital models to support regulatory and internal risk frameworks
- Build robust quantitative libraries and analytics tools for pricing, exposure, and risk measurement
- Deliver production-grade code for integration into trading and risk systems
- Conduct advanced quantitative analysis on counterparty credit risk and working capital usage
- Collaborate with traders, structurers, and risk managers to support deal pricing and portfolio optimization
- Improve model performance, scalability, and computational efficiency
- Contribute to model validation, documentation, and governance processes
- Support working capital risk analytics, including liquidity usage and funding considerations
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Required Skills & Experience
- Strong experience in XVA modelling (CVA, DVA, FVA); knowledge of KVA/MVA a plus
- Proven background in a quantitative role within commodities or financial markets
- Essential: Excellent programming skills in Python
- Preferred: Strong experience with C++ for performance-critical systems
- Experience writing production-quality, scalable code
- Strong foundation in:
- Stochastic calculus
- Derivatives pricing
- Numerical methods (Monte Carlo, PDEs, etc.)
- Experience working with large datasets and distributed computing environments
- Strong analytical mindset with attention to detail
- Advanced degree (MSc/PhD) in Mathematics, Physics, Engineering, or related field
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Preferred Qualifications
- Experience in physical commodities trading environments (energy, metals, or agriculture)
- Familiarity with working capital and liquidity risk in trading businesses
- Experience with model validation or quantitative risk governance
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