Quant jobs / Citi

Mortgage Quantitative Analyst, AVP

A Markets quant role supporting the residential mortgage-backed securities trading desk. It builds pricing, prepayment and default models and uses machine learning on large mortgage datasets.

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 and validate pricing and risk models for RMBS pools and securities
Model prepayment and default rates with statistical and ML methods
Create analysis tools and reports for the trading desk
Work with risk, technology and model validation teams

What they ask for

Required

1-3 years building prepayment or default forecasting models for RMBS
Work with trading desks
Mortgage datasets such as eMBS, McDash and LoanPerformance
Cashflow tools such as Yield Book, Bloomberg and Intex
Expert Python, C++ and SQL
ML frameworks (scikit-learn, TensorFlow, PyTorch)
Graduate degree in a quantitative field

Education: Master's or PhD in computer science, maths, physics, engineering or another quantitative field
Experience: 1-3 years in RMBS forecasting, prepayment or default modelling
Languages and tools: Python
C++
SQL
Markets: fixed-income, credit

How to prepare

Build a loan-level prepayment model with public agency mortgage data
Learn how mortgage pass-throughs and CMOs are structured and priced
Study survival and hazard models for default and prepayment
Practise explaining model results to a trader

What to study

The Rates 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.