Senior Quantitative Analyst, Agency Prepayment Modeling

Citi•New York, NY

1d•$175,000 - $250,000•Hybrid

About The Position

Citi is seeking a Quantitative Analyst to join the Mortgage Analysis team within its Markets Quantitative Analysis (MQA) organization. The role focuses on building and advancing agency prepayment models that inform trading decisions and risk management across Citi's mortgage business. The analyst will work at the intersection of mathematical finance, data, and technology, collaborating with traders, structurers, technologists, and control functions to deliver production-quality models integrated into trading workflows. The position offers the opportunity to contribute to active modeling efforts, influence a critical modeling function, and work with experienced quantitative practitioners at a global financial institution. It is based in New York and follows a hybrid model of three days in the office and two days working remotely.

Requirements

1 to 6 years of experience in quantitative modeling or analytics within the financial sector.
Hands-on experience in prepayment modeling and previous collaboration with trading desks.
Deep expertise in agency and/or non-agency prepayment modeling.
Understanding of object-oriented software design and statistical and probability-based methods applied to financial modeling.
Practical knowledge of market data, mathematical finance, and quantitative methods, including probability theory for evaluating complex financial instruments and designing numerical schemes for contract analysis.
Product knowledge across investments and quantitative financial instruments.
Clear written and verbal communication skills, including the ability to explain complex quantitative concepts to technical and non-technical colleagues.

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

Develop and enhance agency prepayment models using statistical and probability-based techniques to forecast mortgage prepayment behavior and meet modeling priorities.
Develop and support quantitative models using tools including C++ and Python, applying object-oriented software design principles to create scalable, production-quality solutions.
Partner with traders, structurers, and technology professionals to integrate models into trading workflows and meet business requirements.
Collaborate with risk, compliance, legal, audit, and finance functions on governance and control frameworks for model development and deployment.
Evaluate the risk and reward of quantitative approaches and apply sound judgment to uphold modeling integrity and responsible-finance standards.