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Job Description:
The Quantitative Analyst will join Citi’s Mortgage Analysis team to help develop and refine its models for pricing, hedging and risk management of mortgage-backed securities. Part of the role focuses on modeling rates, including mortgage rates, in the Monte Carlo simulation within the mortgage pricing model. Another aspect of the job is analysis of model outputs for a variety of clients. Model development assumes familiarity with advanced computational techniques. Good working knowledge of mathematical finance is essential. The position requires strong programming skills to develop and support the team’s analytics library and tools for the trading desk.
Responsibilities:
Create, implement, and support quantitative models for securitized products, leveraging a wide variety of mathematical and computer science methods and tools, including Mathematical Finance, Statistics and Probability, object-oriented software design, C++ and STL, Python and SQL
Refine and speed up models using Monte Carlo methods and other numerical techniques
Develop analytics libraries used for pricing and risk management
Build and support tools for the trading business
Analyze risk measures and other model outputs, and support trading business in their hedging needs
Collaborate closely with Traders, Risk Managers and Technology
Qualifications:
2 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
Advanced mathematical background: Statistics- and Probability-based calculations; Mathematical Finance and Stochastic Modeling; Derivative Pricing; Monte Carlo Simulation and Numerical Methods
Strong technical/programming skills: C++, Python, SQL Exposure to Market Data; Software design and principles
Product knowledge in Fixed Income, and, particularly, Mortgage-Backed Securities and other Securitized Products
Consistently demonstrates clear and concise written and verbal communication skills
Education:
Master’s Degree, PhD preferred; Mathematics, Physics, Computer Science, Mathematical Finance or related quantitative field.
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
Anticipated Posting Close Date:
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