Senior Quantitative Analyst, Agency Prepayment Modeling

Citi • New York, NY

3d • $175,000 - $250,000 • Hybrid

About The Position

Citi is looking for a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis (MQA) organization, where you will play a central role in building and advancing agency prepayment models that directly inform trading decisions and risk management across Citi's mortgage business. This is a high-impact opportunity for a seasoned prepayment modeler ready to make an immediate contribution to a critical and active modeling effort within one of the world's leading financial institutions. Working at the intersection of mathematical finance, data, and technology, you will collaborate with traders, structurers, and technologists to design models that drive measurable outcomes.

Requirements

• 1 to 6 years of experience in a quantitative modeling or analytics role within the financial sector, with hands-on experience in prepayment modeling and previous collaboration with trading desks considered essential for this position.
• Deep expertise in agency and/or non-agency prepayment modeling, with the ability to contribute to active modeling efforts from day one.
• A solid understanding of object-oriented software design and the application of statistical and probability-based methods to financial modeling problems.
• Practical knowledge of market data, mathematical finance, and quantitative methods, including the use of probability theory to evaluate complex financial instruments and design numerical schemes for contract analysis.
• Product knowledge across investments and quantitative financial instruments, enabling effective collaboration with trading and structuring teams.
• Clear and precise written and verbal communication skills, with the ability to translate complex quantitative concepts for colleagues across technical and non-technical functions.

Nice To Haves

• Master's degree in a quantitative discipline such as mathematics, financial engineering, statistics, physics, or computer science.
• Familiarity with hardware acceleration techniques applied to quantitative computation.

Responsibilities

• Development and enhancement of agency prepayment models, applying statistical and probability-based techniques to accurately forecast mortgage prepayment behavior and support immediate modeling priorities.
• Develop and support quantitative models leveraging a broad range of tools including C++ and Python, applying object-oriented software design principles to deliver scalable, production-quality solutions.
• Partner closely with traders, structurers, and technology professionals to ensure models are well-integrated into trading workflows and meet real-world business requirements.
• Collaborate with risk, compliance, legal, audit, and finance functions to maintain robust governance and control frameworks around model development and deployment.
• Evaluate the risk and reward of quantitative approaches, applying sound judgment to uphold the integrity of modeling outputs and the firm's standards of responsible finance.

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
• Access to continuous learning and professional development resources
• Exposure to a broad set of asset classes and quantitative disciplines

What This Job Offers

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