21310935 MQA Quantitative Analyst - VP/ Director

21310935 MQA Quantitative Analyst - VP/ Director

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Job Description

The Quantitative Analyst is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Recognized subject matter expert within one area. Strong commercial awareness is a necessity. An acknowledged authority both within and outside area of expertise. Typically a small number of people within the business that provide the same level of expertise. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication is typically required. Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Required to think beyond existing solutions, assumptions or current knowledge of sophisticated areas. Significant impact on a function and/or the business through making decisions that determine technical approaches and strategies for the area.

Responsibilities:

  • Develop analytics libraries used for pricing and risk-management

  • Create, implement, and support mortgage prepayment and default models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including C++ , object oriented software design, Python, Structured Query Language (SQL), mathematical finance/ programming, statistics and probability

  • Develop pricing models using numerical techniques for valuation including Monte Carlo Methods.

  • Collaborate closely with Traders, Structurers, and technology professionals

  • Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure

  • Build a culture of responsible finance, good governance and supervision, expense discipline and ethics

  • Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.

  • Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same

  • Adhere to all policies and procedures as defined by your role which will be communicated to you

  • Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe

  • Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.


Qualifications:

  • 7-15 years of experience in prepayment and default modeling

  • Must have technical/programming skills, including C++, Exposure to Market Data; Statistics and Probability

  • Familiarity with mortgage databases, including EMBS and Loan Performance.

  • Experience working with a trading desk

  • Strong understanding of the OAS framework and mortgage risks.

  • Consistently demonstrates clear and concise written and verbal communication skills


Education:

  • Master degree, Ph.D. preferred


This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Citi 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.

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.