Mortgage Quantitative Analyst, AVP

Job Description

We are seeking Quantitative Analyst (AVP) to join our Markets Quantitative Analysis team in New York City. This is a impactful role for an individual with expertise in RMBS securitized products and/or whole loans quantitative modeling. You will be responsible for driving the application of advanced analytics and machine learning within the securitized products business. You will collaborate closely with the trading desk. You will be expected to generate insightful data analysis and trade ideas, build sophisticated models, and harness enormous datasets for in-depth analysis of RMBS securities. You will build and deploy models and analytics using Python, SQL, and C++ with a strong emphasis on leveraging AI and ML tools.

Responsibilities:

• Lead the development, implementation, and validation of sophisticated models to price and assess risk on RMBS pools/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.

Ideal Candidate:

• 1-3 years of experience developing forecasting models and/or prepayment and default models for pricing and risk management for RMBS securities.
• Experience working directly with trading and F&S desks and providing analytical support for various trading activities.
• Experience working with various mortgage databases such as eMBS, McDash, LoanPerformance and Fannie/Freddie Credit Risk transfer, and the ability to develop data analysis tools and reports.
• Expertise with cashflow analytics tools such as Yield Book, Bloomberg and Intex.
• Significant, expert-level experience in programming including Python, C++, SQL, machine learning frameworks (e.g., Scikit-learn, TensorFlow, PyTorch).
• Possesses excellent communication skills, with the ability to explain complex quantitative concepts to senior stakeholders.
  

Education

• Graduate degree (Masters or PhD) in Computer Science, Mathematics, Physics, Engineering, or another quantitative field.

Other job-related duties may be assigned as required.

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$109,120.00 - $163,680.00

In 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.

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Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Nov 09, 2026

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. 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.

Illinois residents – AI Notice and Right

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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.

View Citi’s EEO Policy Statement and the Know Your Rights poster.