Senior Mortgage Prepayment Modeling Quant — Hybrid

Citigroup Inc.; New York (NY); Hybrid; USD 180,000 - 250,000; Full time

Benefits offered by this job

Hybrid work model

Performance incentives

Learning resources

Job summary

Citi is seeking a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis organization, focusing on agency prepayment models used in trading decisions and risk management across Citi's mortgage business.

The role involves building and validating models, collaborating with traders, structurers, and technologists, and delivering production-quality, scalable solutions using C++ and Python.

Qualifications

• 1 to 6 years of experience in quantitative modeling or analytics in the financial sector.
• Hands-on experience in prepayment modeling and collaboration with trading desks is essential.
• Strong understanding of object-oriented software design and probabilistic methods for financial modeling.

Responsibilities

• Develop and enhance agency prepayment models using statistical and probability-based techniques.
• Develop and support quantitative models using C++ and Python with production-quality implementation.
• Collaborate with traders, structurers, and technology professionals to integrate models into trading workflows.
• Coordinate with risk, compliance, legal, audit, and finance to maintain governance around model development and deployment.
• Evaluate risk and reward of quantitative approaches to uphold model integrity and Citi standards.

Skills

Prepayment modeling

C++

Python

Statistical methods

Communication skills

Education

Master's degree in quantitative discipline

Tools

C++

Python

Job description

Citi is seeking a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis organization, focusing on agency prepayment models used in trading decisions and risk management across Citi's mortgage business.

The role involves building and validating models, collaborating with traders, structurers, and technologists, and delivering production-quality, scalable solutions using C++ and Python.