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About the Role

Seeking an experienced Quantitative Analyst (VP) with deep expertise in RMBS securitized products and whole loans quantitative modeling. This senior role involves driving advanced analytics and machine learning within the securitized products business, managing junior quants, and collaborating with the trading desk to generate impactful data analysis and trade ideas.

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

• 4-6 years of experience developing prepayment and default models for pricing and risk management for different mortgage types such as prime jumbo, Alt-A/Non-QM, RPL, CRT, etc.
• Significant experience working directly with trading and F&S desks and providing analytical support for various trading activities.
• Significant experience working with various mortgage databases such as LoanPerformance and Fannie/Freddie Credit Risk transfer, and the ability to develop data analysis tools and reports.
• Expertise with cashflow analytics tools such as Intex, Bloomberg and Yield Book.
• Significant, expert-level experience in programming including C++, SQL, and Python, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch).
• Possesses excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders.

Skills

• C++
• Python
• SQL
• Machine Learning
• RMBS securitized products
• Whole loans quantitative modeling
• Prepayment modeling
• Default modeling
• Intex
• Bloomberg
• Yield Book
• Scikit-learn
• TensorFlow
• PyTorch

Location

• New York, New York, United States

Work Type

• Full time
• Onsite

Experience Level

• VP
• Senior

Education Level

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

Salary/Compensations

• $175,000.00 - $250,000.00

Benefits

• Discretionary and formulaic incentive and retention awards
• 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.

About the Company

• Citi is an equal opportunity employer.

Equal Opportunity

• Qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
• 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.
• View Citi’s EEO Policy Statement and the Know Your Rights poster.