Citi Trends
Mortgage Quantitative Analyst, VP
NEW YORK, New York, United States of America · Vp · Full-time
Sponsorship not specified$175k-$250kDetected 2 days ago
PythonC++SQLMachine LearningTensorFlowPyTorchscikit-learnData AnalysisCommunicationMentoring
About the role
- This is a senior role for an individual with deep expertise in RMBS securitized products and whole loans quantitative modeling.
- You will be responsible for driving the application of advanced analytics and machine learning within the securitized products business, as well as managing and mentoring junior quants.
Responsibilities
- Lead the development, implementation, and validation of sophisticated models to price and assess risk on RMBS and ABS securities.
- Apply advanced statistical and ML modeling to project prepayment, default rates, and other credit-related metrics, and to identify complex, actionable patterns within large financial datasets Directly support trading desk and F&S business by developing data analysis tools and reports.
- Collaborate with other groups including risk management, technology, and the model validation group.
- Mentor, guide, and manage junior quants on the team, fostering their technical and professional growth.
- Significant experience working directly with trading and F&S desks and providing analytical support for various trading activities.
- Significant experience working with various mortgage databases such as LoanPerformance and Fannie/Freddie Credit Risk transfer, and the ability to develop data analysis tools and reports.
Requirements
- Ideal Candidate: 4-6 years of experience developing prepayment and default models for pricing and risk management for different mortgage types such as prime jumbo, Alt-A/Non-QM, RPL, CRT, etc.
Nice to have
- 4-6 years of experience developing prepayment and default models for pricing and risk management for different mortgage types such as prime jumbo, Alt-A/Non-QM, RPL, CRT, etc.
- Expertise with cashflow analytics tools such as Intex, Bloomberg and Yield Book.
- Possesses excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders.
- Other job-related duties may be assigned as required. ------------------------------------------------------
Skills
- 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.
- View Citi's EEO Policy Statement and the Know Your Rights poster.
Compensation
- $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.
Benefits
- Significant, expert-level experience in programming including C++, SQL, and Python, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch).
- Education Graduate degree (Masters or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.
- 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.
Equal opportunity
- 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.
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