Citi Group Quantitative Analyst - Mortgage Analysis C13 NEW YORK 

United States, New York, New York 

100629472

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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