Asset Backed Securities Quantitative Analyst-AVP

Citi; New York (NY); Hybrid; USD 150,000 - 175,000; Full time

Benefits offered by this job

Hybrid work model

Professional development opportunities

Financial wellbeing programs

Family and personal wellbeing programs

Vacation and sick leave

Job summary

Citi is seeking an Asset-Backed Securities Quantitative Analyst in New York to build analytics libraries and develop Basel and CCAR capital models for ABS facilities backed by auto and personal loans.

You will work closely with bankers, structurers, and technology teams, applying Python, SQL, and statistical methods to risk and capital decisions in a hybrid, global markets environment.

Qualifications

• 1–3 years in quantitative modeling or analytics in financial services.
• Strong programming and statistical fundamentals for risk modeling.
• Experience with Python, SQL, and C++ in model development.

Responsibilities

• Build and maintain analytics libraries for credit analysis of ABS.
• Develop and implement quantitative models for ABS financing and securitization.
• Design Basel and CCAR capital models for collateralized facilities.
• Collaborate with traders, structurers, and technology teams on quantitative solutions.
• Work with risk, audit, model risk, and finance to maintain governance.

Skills

Python

SQL

C++

Git & AI tools

Statistics & probability

Market data analysis

Investments knowledge

Communication skills

Education

Postgraduate degree or equivalent in a quantitative field

Tools

Git

Github Copilot

Job description

As an Asset-Backed Securities Quantitative Analyst, you will build the analytics models that power Citi's asset-backed securities financing and securitization business. Working closely with bankers, structurers, and technology teams, you will design regulatory capital models for ABS facilities backed by collateral such as auto loans and personal loans, including Basel and CCAR models. This role gives you the opportunity to apply advanced mathematical and programming skills to decisions that directly shape the trading business.

Responsibilities

• Build and maintain analytics libraries that support credit analysis for asset-backed securities.
• Develop and implement quantitative models and analytical tools for Citi's ABS Financing and Securitization business using Python, SQL, and statistical and probability-based methods.
• Design Basel and CCAR capital models for asset-backed facilities backed by loans such as auto loans and personal loans.
• Partner with traders, structurers, and technology professionals to turn market needs into working quantitative solutions especially with data analysis on large data sets.
• Work alongside Market and Credit Risk, Audit, Model Risk, and Finance teams to maintain strong governance and control standards.

Required Qualifications & Skills

• 1 to 3 years of experience in quantitative modeling, analytics, or a related role, ideally within financial services.
• Proficiency in Python, SQL, and C++ for building and testing quantitative models.
• Working knowledge of git, and experience with Github copilot and other AI tools.
• Working knowledge of statistics, probability theory, and numerical methods used to assess risk in complex financial instruments or with large data sets of past history.
• Familiarity with market data and its application to risk analysis.
• Background in investments and quantitative methods relevant to structured and asset-backed products.
• Clear, concise written and verbal communication skills for engaging with banking, risk, and control teams.
• Postgraduate degree or equivalent practical experience in a quantitative field such as mathematics, statistics, financial engineering, or a related discipline.

What We Offer

Joining Citi's ABS Financing and Securitization team gives you the chance to apply advanced quantitative skills to real trading and risk decisions while building your career within a global markets business.

• Work in a hybrid model with three days in the office and two days working remotely each week.
• Collaborate with quantitative, trading, and risk professionals across Citi's global markets network.
• Access ongoing learning and development opportunities to deepen your quantitative and programming expertise.
• Take on complex, high-impact modeling challenges that directly influence risk and capital decisions.
• Benefit from programs that support your financial wellbeing and work-life balance.
• Receive support for family and personal wellbeing through Citi's employee benefit programs.

Employee Benefits

• discretionary and formulaic incentive and retention awards
• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• planned time off (vacation)
• unplanned time off (sick leave)
• 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.

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