Mortgage Quantitative Analyst, VP

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.

Requirements

• Significant experience working directly with trading and F&S desks and providing analytical support for various trading activities.
• Significant, expert-level experience in programming including C++, SQL, and Python, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch).
• Excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders.

Qualifications

• Graduate degree (Masters or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.

Skills

• Expertise with cashflow analytics tools such as Intex, Bloomberg and Yield Book.
• Significant experience working with various mortgage databases such as LoanPerformance and Fannie/Freddie Credit Risk transfer.

Benefits

Available offerings may vary by jurisdiction, job level, and date of hire. For additional information regarding Citi employee benefits, please visit citibenefits.com.