Quantitative Analyst - Mortgage Analysis , VP - New York

Job Description

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We are looking for a Quantitative Analyst to join the Markets Quantitative Analysis team in New York City. The team is primarily responsible for providing data analysis, developing quantitative models for projecting prepayment and default rates, and developing related analytics to assist trading and risk management of the securitized sectors including agency / non-agency RMBS, CMBS, and whole loan portfolios.

As a Quantitative Analyst, there is a huge opportunity to learn within this role as you will be working with senior analysts and trading desks helping them develop and improve complex models, provide data analysis and trade ideas, and develop analytics to access enormous datasets to enable in-depth analysis of RMBS / CMBS / ABS securities.

In this quantitative role, you will build models and analytics using C++, Python, and SQL. The Analyst will be an integral part of the trading process, where the emphasis will be on delivering intuitive models and analytics that allow in-depth data analysis of underlying mortgages, providing an insightful value-added service for the trading business by generating analysis that leads to trade recommendations or identifying mispriced securities.

The successful Analyst will effectively balance daily functions with numerous ad-hoc requests.

Responsibilities :

• Develop models, using C++, Python, and SQL, to price and assess risk on RMBS and CMBS securities.
• Write complex queries to analyze enormous mortgage datasets and provide analysis, reports, and historical performance trends.
• Develop web applications that will allow traders to access the underlying mortgage data to perform different types of analysis and to run the models on RMBS, CMBS, ABS securities.
• Review, verify, and maintain the highest quality of indicative data that feeds the models and web applications that the trading business heavily relies on.
• Work with various groups including internal risk management, technology, model validation, and clients for day-to-day issues such as running risk reports, providing data and analysis, and addressing incorrect model projections and data issues, as well as longer-term projects.
• Monitor RMBS / CMBS / ABS market activity and provide traders with updated market news and potential impacts on collateral performance and market pricing.

Emphasis will also be on trade idea generation and sector-specific research.

Contribute as part of a team in providing innovative ideas and input that are expected and sought from everyone involved.

Ideal Candidate :

• Graduate degree in Computer Science, Mathematics, or any Quantitative field of study.
• Strong programming skills preferably in C++ and / or Python.
• Experience working with large datasets.
• High attention to detail.
• Possesses good communication skills.

Job Family Group : Institutional Trading

Job Family : Quantitative Analysis

Time Type : Full time

Primary Location : New York, New York, United States

Primary Location Full Time Salary Range : $175,000.00 - $250,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.

Citi offers competitive employee benefits, including : medical, dental & vision coverage; 401(k); life, accident, and disability insurance;

and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

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

Anticipated Posting Close Date : Oct 03, 2024

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi ) invite all qualified interested applicants to apply for career opportunities.

If you are a person with a disability and need a reasonable accommodation to use our search tools and / or apply for a career opportunity, review Accessibility at Citi .

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