Mortgage Quantitative Analyst, VP

Citi • New York, NY

1d • $175,000 - $250,000 • Onsite

About The Position

We are seeking an experienced Quantitative Analyst (VP) to join our Markets Quantitative Analysis team in New York City. This is a senior role for an individual with deep expertise in RMBS securitized products and whole loans quantitative modeling. You will be responsible for driving the application of advanced analytics and machine learning within the securitized products business, as well as managing and mentoring junior quants. You will collaborate closely with the trading desk. You will be expected to generate impactful data analysis and trade ideas, build sophisticated models, and harness enormous datasets for in-depth analysis of RMBS/ABS securities. You will build and deploy models and analytics using C++, Python, and SQL, with a strong emphasis on leveraging AI and ML tools.

Requirements

• 4-6 years of experience developing prepayment and default models for pricing and risk management for different mortgage types such as prime jumbo, Alt-A/Non-QM, RPL, CRT, etc.
• Significant experience working directly with trading and F&S desks and providing analytical support for various trading activities.
• Significant experience working with various mortgage databases such as LoanPerformance and Fannie/Freddie Credit Risk transfer, and the ability to develop data analysis tools and reports.
• Expertise with cashflow analytics tools such as Intex, Bloomberg and Yield Book.
• Significant, expert-level experience in programming including C++, SQL, and Python, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch).
• Possesses excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders.
• Graduate degree (Masters or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.

Responsibilities

• Lead the development, implementation, and validation of sophisticated models to price and assess risk on RMBS and ABS securities.
• Apply advanced statistical and ML modeling to project prepayment, default rates, and other credit-related metrics, and to identify complex, actionable patterns within large financial datasets
• Directly support trading desk and F&S business by developing data analysis tools and reports.
• Collaborate with other groups including risk management, technology, and the model validation group.
• Mentor, guide, and manage junior quants on the team, fostering their technical and professional growth.

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

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