full-time
Mortgage Quantitative Analyst, VP
Citi
- Employer
- Citi
- Location
- New York
- Working pattern
- on-site
- Salary
- $175,000–$250,000 / year
About the role
Lead the development, implementation, and validation of models and analytics for pricing and assessing risk in RMBS and ABS securities, including forecasting prepayments and defaults and identifying actionable patterns in large datasets. Support trading and F&S activities through analysis, tools, and reports; collaborate with risk, technology, and model validation teams; and mentor junior quantitative analysts. Requires 4–6 years of experience developing mortgage prepayment and default models, supporting trading and F&S desks, and working with mortgage databases and cash flow analytics tools. Candidates should have expert-level C++, Python, SQL, and machine learning skills, strong communication abilities, and a master's or PhD in a quantitative field.