Senior Mortgage Prepayment Quant

Citibank (Switzerland) AG; Northern, New York (KY, NY); Hybrid; Confidential; Full time

Job summary

Citibank (Switzerland) AG seeks a Senior Quantitative Analyst to advance agency prepayment models within Citi's Mortgage Analysis team in New York. You will develop production-quality models in C++ and Python, collaborating with traders, structurers, and technologists to integrate models into trading workflows.

The role emphasizes rigorous statistics, financial engineering, governance, and a hybrid work model with exposure to live trading and risk management decisions.

Qualifications

• 1 to 6 years of experience in a quantitative modeling or analytics role within the financial sector, with hands-on experience in prepayment modeling and collaboration with trading desks considered essential.
• Deep expertise in agency and/or non-agency prepayment modeling, with the ability to contribute to active modeling efforts from day one.
• A solid understanding of object-oriented software design and the application of statistical and probability-based methods to financial modeling problems.
• Practical knowledge of market data, mathematical finance, and quantitative methods, including the use of probability theory to evaluate complex financial instruments.
• Product knowledge across investments and quantitative financial instruments, enabling effective collaboration with trading and structuring teams.
• Clear and precise written and verbal communication skills, with the ability to translate complex quantitative concepts for colleagues across technical and non-technical functions.

Responsibilities

• Development and enhancement of agency prepayment models, applying statistical and probability-based techniques to forecast mortgage prepayment behavior and support modeling priorities.
• Develop and support quantitative models using C++ and Python, applying OO design to deliver production-quality solutions.
• Collaborate with traders, structurers, and technologists to ensure models are integrated into trading workflows and meet business requirements.

Skills

Prepayment modeling

C++

Python

Statistical methods

Financial instruments

Education

Master's degree in quantitative discipline

Tools

Hardware acceleration

Python

Job description

Citibank (Switzerland) AG seeks a Senior Quantitative Analyst to advance agency prepayment models within Citi's Mortgage Analysis team in New York. You will develop production-quality models in C++ and Python, collaborating with traders, structurers, and technologists to integrate models into trading workflows.

The role emphasizes rigorous statistics, financial engineering, governance, and a hybrid work model with exposure to live trading and risk management decisions.