Senior Mortgage Modeler – Hybrid, Prepayment Focus

Citi; New York (NY); Hybrid; USD 175,000 - 250,000; Full time

Job summary

Citi is looking for a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis organization. You will build and advance agency prepayment models that inform trading decisions and risk management across Citi's mortgage business.

You will work at the intersection of mathematical finance, data, and technology, collaborating with traders, structurers, and technologists to design production-quality models that deliver measurable results for Citi's global

Qualifications

• 1 to 6 years of experience in quantitative modeling or analytics in finance.
• Experience with agency and/or non-agency prepayment modeling.
• Ability to translate complex quantitative concepts for stakeholders.

Responsibilities

• Develop and enhance agency prepayment models.
• Build production-quality models in C++ and Python.
• Collaborate with traders, structurers, and technology teams.
• Ensure governance around model deployment.
• Evaluate risk and performance of methods.

Skills

Prepayment modeling

C++

Python

Statistical methods

Financial instruments

Communication skills

Trader collaboration

Education

Master's degree in quantitative discipline

Tools

C++

Python

Job description

Citi is looking for a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis organization. You will build and advance agency prepayment models that inform trading decisions and risk management across Citi's mortgage business.

You will work at the intersection of mathematical finance, data, and technology, collaborating with traders, structurers, and technologists to design production-quality models that deliver measurable results for Citi's global