Asset Backed Securities Quant

Citi • New York, NY

6d • $150,000 - $175,000 • Hybrid

About The Position

As an Asset-Backed Securities Quantitative Analyst, you will build analytics models that support Citi's asset-backed securities financing and securitization business. Working with bankers, structurers, and technology teams, you will design regulatory capital models for ABS facilities backed by collateral such as auto and personal loans, including Basel and CCAR models. The role applies mathematical and programming skills to decisions that shape the trading business.

The position is part of Citi's ABS Financing and Securitization team. It offers the opportunity to contribute to trading, risk, and capital decisions, collaborate with professionals across Citi's global markets network, and develop quantitative and programming expertise through ongoing learning and development opportunities. The role follows a hybrid model, with three days in the office and two days working remotely each week.

Requirements

• 1 to 3 years of experience in quantitative modeling, analytics, or a related role, ideally within financial services.
• Proficiency in Python, SQL, and C++ for building and testing quantitative models.
• Working knowledge of git and experience with GitHub Copilot and other AI tools.
• Working knowledge of statistics, probability theory, and numerical methods used to assess risk in complex financial instruments or large historical data sets.
• Familiarity with market data and its application to risk analysis.
• Background in investments and quantitative methods relevant to structured and asset-backed products.
• Clear, concise written and verbal communication skills for engaging with banking, risk, and control teams.
• Postgraduate degree or equivalent practical experience in a quantitative field such as mathematics, statistics, financial engineering, or a related discipline.

Responsibilities

• Build and maintain analytics libraries that support credit analysis for asset-backed securities.
• Develop and implement quantitative models and analytical tools for Citi's ABS Financing and Securitization business using Python, SQL, and statistical and probability-based methods.
• Design Basel and CCAR capital models for asset-backed facilities backed by loans such as auto loans and personal loans.
• Partner with traders, structurers, and technology professionals to translate market needs into quantitative solutions, including analysis of large data sets.
• Work with Market and Credit Risk, Audit, Model Risk, and Finance teams to maintain governance and control standards.

Benefits

• Medical, dental, and vision coverage
• 401(k)
• Life, accident, and disability insurance
• Wellness programs
• Paid time off, including vacation, sick leave, and paid holidays
• Ongoing learning and development opportunities
• Programs supporting financial wellbeing and work-life balance
• Employee benefit programs supporting family and personal wellbeing
• Discretionary and formulaic incentive and retention awards may be available to eligible employees

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level