Job DescriptionWe are looking for a Quantitative Analyst to join the Markets Quantitative Analysis team in New York City. The team is primarily responsible for providing data analysis, developing quantitative models for projecting prepayment and default rates, and developing related analytics to assist trading and risk management of the securitized sectors including agency/non-agency RMBS, CMBS, and whole loan portfolios.As a Quantitative Analyst there is a huge opportunity to learn within this role as you will be working with senior analysts and trading desks helping them develop and improve complex models, provide data analysis and trade ideas, and develop analytics to access enormous dataset to enable in-depth analysis of RMBS/CMBS/ABS securities.In this quantitative role, you will build models and analytics using C, Python, and SQL. The Analyst will be an integral part of the trading process, where the emphasis will be on delivering intuitive models, analytics that allow in-depth data analysis of underlying mortgages, and providing an insightful value-added service for the trading business by generating analysis that leads to trade recommendation or identifying mispriced securities. The successful Analyst will effectively balance daily functions with numerous ad-hoc requests.Responsibilities:
Develop models, using C, Python, and SQL, to price and assess risk on RMBS and CMBS securities.
Writing complex queries to analyze enormous mortgage dataset and provide analysis, reports, and historical performance trends.
Developing web applications that will allow traders to access the underlying mortgage data to perform different types of analysis and to run the models on RMBS, CMBS, ABS securities.
Reviewing, verifying, and maintaining highest quality of indicative data that feeds the models and web applications that trading business heavily rely on.
Work with various other groups including internal risk management group, technology team, model validation group, and clients for both day-to-day issues such as running risk reports, providing data and analysis, addressing incorrect model projections and data issues, as well as longer term projects.
Monitor RMBS/CMBS/ABS market activity and provide traders with updated market news and potential impact on collateral performance and market pricing. Emphasis will also be on trade idea generation and sector specific research.
Contributing as part of a team in providing innovative ideas and input that are expected and sought from everyone involved.
Ideal Candidate:
Graduate degree in Computer Science, Mathematics, or any Quantitative field of study.
Strong programming skills preferably in C and/or Python.
Experience working with large datasets.
High attention to detail.
Possesses good communication skills
Job Family Group:Institutional TradingJob Family:Quantitative AnalysisTime Type:Full timePrimary Location:New York New York United StatesPrimary Location Full Time Salary Range:$175,000.00 - $250,000.00In 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:Oct 03, 2024Citi is an equal opportunity and affirmative action employer.Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCPEEOSupplementFinalJRFQA508c.pdf) .View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeoaapolicy.pdf) .View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp%20EnglishformattedESQA508c.pdf)Citi is an equal opportunity and affirmative action employer.Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.