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Job Description
- Req#: 24721450
Citigroup Global Markets, Inc. seeks a Quantitative Analyst for its New York, NY location.
Duties: Responsible for development, testing, and maintenance of mortgage interest rate models, mortgage prepayment, default and loss models, as well as Basel capital models for U.S. and international residential mortgage, commercial mortgage, and other asset backed securities. Perform advanced computerized econometric analysis involving the use of highly sophisticated quantitative methodologies including linear and non-linear optimization, Monte Carlo simulations, statistical inference, and numerical methods to aid in the development and maintenance of Residential Mortgage Backed Security (RMBS) and Asset Backed Security (ABS) regulatory capital, default, prepayment, loss severity, and roll rate transition models. Employ programming languages and technologies including Python, R, C++, Perl, and VBA to ensure accurate implementation of models on various analytical platforms. Remote work may be permitted within a commutable distance from the worksite in accordance with Citi policy.
Requirements: Master’s degree, or foreign equivalent, in Economics, Mathematics, Financial Engineering, or a related quantitative field, and one (1) year of experience in the job offered, as a Model Validation Analyst, Financial Modeler, or in a related occupation. One (1) year of experience must include: Working with prepayment and default models for mortgage-backed securities, with a focus on non-US mortgages; Writing SQL queries and connecting to transactional databases for analyzing vast amounts of data; Working with macroeconomics, microeconomics, and finance; Performing Big Data statistical analysis utilizing non-parametric models and machine learning techniques; Working with database/data manipulation language to clean and analyze large datasets and identify patterns and trends; Utilizing programming languages including Python, R, and MATLAB for model development; and Writing model documentation including model design, model usage, and ongoing performance evaluation techniques. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ or by email to Citigroup Recruiting Dept. at NAMobilityRecruitment@citi.com. Please reference Job ID# 24721450. EO Employer.
Wage Range: $200,000.00 - $250,000.00
Job Family Group: Institutional Trading
Job Family: Quantitative Analysis
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Primary Location:
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About the company
While we're a global bank, our mission is simple: We responsibly provide financial services that enable growth and economic progress. We strive to earn and maintain the public's trust by constantly adhering to the highest ethical standards. We ask our colleagues to ensure that their decisions pass three tests: they are in our clients' interests, create economic value, and are always systemically responsible. When we do these things well, we make a positive financial and social impact in the communities we serve and show what a global bank can do.