Senior Quantitative Analyst, Agency Prepayment Modeling

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 looking for a Quantitative Analyst to join the Mortgage Analysis team within the Markets Quantitative Analysis (MQA) organization, where you will play a central role in building and advancing agency prepayment models that directly inform trading decisions and risk management across Citi's mortgage business. This is a high-impact opportunity for a seasoned prepayment modeler ready to make an immediate contribution to a critical and active modeling effort within one of the world's leading financial institutions. Working at the intersection of mathematical finance, data, and technology, you will collaborate with traders, structurers, and technologists to design models that drive measurable outcomes.

Responsibilities

• Development and enhancement of agency prepayment models, applying statistical and probability-based techniques to accurately forecast mortgage prepayment behavior and support immediate modeling priorities.
• Develop and support quantitative models leveraging a broad range of tools including C++ and Python, applying object-oriented software design principles to deliver scalable, production-quality solutions.
• Partner closely with traders, structurers, and technology professionals to ensure models are well-integrated into trading workflows and meet real-world business requirements.
• Collaborate with risk, compliance, legal, audit, and finance functions to maintain robust governance and control frameworks around model development and deployment.
• Evaluate the risk and reward of quantitative approaches, applying sound judgment to uphold the integrity of modeling outputs and the firm's standards of responsible finance.

Required qualifications & skills

• 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 previous collaboration with trading desks considered essential for this position.
• 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 and design numerical schemes for contract analysis.
• 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.

Beneficial skills & qualifications

• Master's degree in a quantitative discipline such as mathematics, financial engineering, statistics, physics, or computer science.
• Familiarity with hardware acceleration techniques applied to quantitative computation.

What we offer

At Citi, you will work within a high‑performing team of quantitative professionals operating at the forefront of mortgage analytics. This role offers the opportunity to shape the direction of a critical modeling function, work alongside some of the most experienced practitioners in the field, and build your career within a global financial institution that operates across more than 160 countries.

• A hybrid working model with 3 days in the office and 2 days working remotely, providing flexibility alongside meaningful in-person collaboration.
• Direct impact on live trading and risk management decisions through your modeling work, with visibility to senior stakeholders across the business.
• Access to continuous learning and professional development resources to deepen your quantitative and technical expertise over time.
• Exposure to a broad set of asset classes and quantitative disciplines, enabling long-term career growth within Citi's global markets organization.
• Competitive compensation and a comprehensive benefits package, including financial wellbeing, health, and family support programs.
• A collaborative team environment where technical excellence, accountability, and delivery are valued and recognized.

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:

$175,000.00 - $250,000.00

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:

Sep 22, 2026

Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

Illinois residents – AI Notice and Right

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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