Quantitative Analyst

Citigroup Inc. New York , NY 10007

Posted 4 days ago

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location.

Duties: Develop advanced quantitative econometric models to assist in the market forecasting of mortgage-backed securities ("MBS"), asset-backed securities ("ABS"), and calculation of prepayments, defaults and losses of mortgage and other consumer loans.

Perform advanced computerized econometric analysis using quantitative methodologies including linear and non-linear optimization, Monte Carlo simulations, statistical inference, and numerical methods, to aid in the development and maintenance of the Residential Mortgage Backed Security ("RMBS") and Asset Backed Securities ("ABS") regulatory capital, default, prepayment, loss severity, and roll rate transition models.

Analyze big data sets of agency, non-agency mortgage, and consumer loan databases. Use programming languages and technologies to ensure accurate implementation of models on analytical platforms such as YieldBook, Python, R, SQL, and Intex.

Analyze mortgage databases such as eMBS. Communicate with internal and external model users, such as model validation and capital planning teams to discuss the mechanism of the models and coordinate related projects with these teams to resolve various operational issues. Support YieldBook models and fix issues in YieldBook.

Track market developments, including servicer loss mitigation trends, government initiatives, and analyze their impact on MBS and ABS. Conduct testing and documentation for models related to mortgage and asset backed securities. Use model and analytical platforms to perform Comprehensive Capital Analysis and Review ("CCAR") test to satisfy regulatory requirements.

Requirements: Requires a Master's degree or foreign equivalent in Mathematical Finance, Mathematics, Finance, or related field and two (2) years of experience as a Quantitative Analyst or related position working within the global financial services industry.

Alternatively, employer will accept a Bachelor's degree or foreign equivalent in the stated fields and five (5) years of the specified progressive, post-baccalaureate experience. Full span of experience must include: Python, R, SQL; Linear and non-linear optimization, Monte Carlo simulations, stochastic processes, and numerical methods; Mortgage Backed Securities and mortgage databases such as eMBS; Prepayment modeling; Structured products; and Interest rate modeling including HW, G2++, Cheyette, and Markov functional models.

Applicants submit resumes at https://jobs.citi.com/ and search Job Req ID#23657844 or to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. EO Employer. This position is eligible for incentives pursuant to Citigroup's Employee Referral Program.

Wage Range: $175,000 to $175,000

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

Job Family Group:

Job Family:

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Salary Range:

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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

icon no score

See how you match
to the job

Find your dream job anywhere
with the LiveCareer app.
Mobile App Icon
Download the
LiveCareer app and find
your dream job anywhere
App Store Icon Google Play Icon

Boost your job search productivity with our
free Chrome Extension!

lc_apply_tool GET EXTENSION

Similar Jobs

Want to see jobs matched to your resume? Upload One Now! Remove
Senior Quantitative Analyst

Fidelity Investments

Posted 3 days ago

VIEW JOBS 6/5/2023 12:00:00 AM 2023-09-03T00:00 Job Description: The Role The Quantitative Analyst position offers a valuable opportunity to learn and excel within the Fidelity Institutional Wealth Adviser Fidelity Investments Boston MA

Quantitative Analyst

Citigroup Inc.