Mortgage Quantitative Analyst, AVP
About The Position
Citi is seeking a Quantitative Analyst (AVP) to join its Markets Quantitative Analysis team in New York City. The role focuses on quantitative modeling for RMBS securitized products and/or whole loans and applying advanced analytics and machine learning in the securitized products business. The analyst will work closely with the trading desk, produce data analysis and trade ideas, build sophisticated models, and analyze large datasets of RMBS securities. Models and analytics are built and deployed using Python, SQL, and C++, with an emphasis on AI and machine learning tools. The position sits within the Risk Management job family group and the Model Development and Analytics job family. Other job-related duties may be assigned as required.
Requirements
- 1–3 years of experience developing forecasting models and/or prepayment and default models for pricing and risk management of RMBS securities.
- Experience working directly with trading and F&S desks and providing analytical support for trading activities.
- Experience with mortgage databases such as eMBS, McDash, LoanPerformance, and Fannie/Freddie Credit Risk Transfer, and ability to develop data-analysis tools and reports.
- Expertise with cash-flow analytics tools such as Yield Book, Bloomberg, and Intex.
- Significant expert-level programming experience, including Python, C++, SQL, and machine-learning frameworks such as Scikit-learn, TensorFlow, or PyTorch.
- Excellent communication skills and ability to explain complex quantitative concepts to senior stakeholders.
- Graduate degree (Master’s or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.
Responsibilities
- Lead development, implementation, and validation of sophisticated models to price and assess risk on RMBS pools and securities.
- Apply advanced statistical and machine-learning modeling to project prepayment, default rates, and other credit-related metrics, and identify actionable patterns in large financial datasets.
- Support the trading desk and F&S business by developing data-analysis tools and reports.
- Collaborate with risk management, technology, and model validation groups.
Benefits
- Medical coverage
- Dental coverage
- Vision coverage
- 401(k)
- Life insurance
- Accident insurance
- Disability insurance
- Wellness programs
- Paid time off, including vacation and sick leave
- Paid holidays
- Discretionary and formulaic incentive and retention awards may be available to eligible employees
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
