Quant jobs / Citi

Asset Backed Securities Quantitative Analyst – AVP

A quant role supporting Citi's ABS financing and securitisation business, covering loans such as auto and personal loans. It builds credit analytics and regulatory capital models for those facilities.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Build credit analysis libraries for asset-backed deals
Design Basel and CCAR capital models for loan-backed facilities
Analyse large historical loan datasets with Python and SQL
Work with traders, structurers and model risk teams

What they ask for

Required

1-3 years in quant modelling or analytics
Python, SQL and C++
Git
Statistics, probability and numerical methods
Market data for risk analysis
Structured and asset-backed products background
Postgraduate degree or equivalent experience

Preferred

GitHub Copilot or other AI tools

Education: Postgraduate degree or equivalent practical experience in maths, statistics, financial engineering or similar
Experience: 1-3 years in quantitative modelling or analytics, ideally in financial services
Languages and tools: Python
SQL
C++
Git
Markets: credit, fixed-income

How to prepare

Build a loan-level default and loss model on public auto-loan or consumer credit data
Learn how securitisation waterfalls and tranching work
Study Basel capital and CCAR stress-testing basics
Practise SQL on large loan datasets

What to study

The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.

View the posting on Citi’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.