The Quantitative Analyst is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the function and overall business. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits. Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.

Responsibilities:

Develop advanced quantitative econometric models to assist in the market forecasting of residential and commercial mortgage-backed securities (“RMBS and CMBS”), 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/Commercial Mortgage Backed Security (“RMBS” & "CMBS") and Asset Backed Securities (“ABS”) regulatory capital, default, prepayment, loss severity, and roll rate transition models.
Analyze big data sets of residential and commercial mortgage, and consumer loan databases, provide internal research and support the trading business.
Use programming languages and technologies to ensure accurate implementation of models on analytical platforms such as C++, Python, R, SQL, and Intex.
Use large scale SQL and snowflake database to analyze residential and commercial mortgage-backed securities (“RMBS and CMBS”), consumer loans and securitized products.
Use HTML, TypeScript to build and improve web app tools to better visualize loan performances for commercial mortgage-backed securities and asset-backed securities
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.
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.

Qualifications:

2+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
Must have technical/programming skills; Python, SQL and C++ Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
Must also possess any level of product knowledge, Investments and Quantitative Methods
Consistently demonstrates clear and concise written and verbal communication skills

Education:

Bachelor’s/University degree or equivalent experience

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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:

$150,000.00 - $175,000.00

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 14, 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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .

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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Citigroup jobs

Quantitative Analyst - Associate - New York