5 months ago
Base Salary
$177k - $265k/yr
Responsibilities
- Lead the design and architecture of software systems that manage portfolio risks for the Mortgage Servicing Rights trading desk.
- Build and maintain production-grade Python systems for valuing and analyzing fixed-income derivatives and mortgage assets.
- Integrate third-party valuation systems and financial models covering interest rates, mortgage prepayments, defaults, and horizon forecasts.
- Analyze user needs and software requirements to evaluate feasible design options within time and cost constraints.
- Document applications and systems for reference, maintenance, and future upgrades.
- Establish Python code-quality, testing, documentation, and dependency-management standards.
- Maintain code-management, release, and code-protection controls in accordance with firm policies.
- Modify existing VBA and SQL analytics to fix errors and support changing business requirements.
- Automate manual mortgage-trader tasks involved in the bidding process for prospective loans.
- Collaborate with Risk, Finance, Product Control, Audit, external vendors, and trading-desk stakeholders to implement and maintain risk reports and data feeds.
Requirements
- 5–10 years of working experience in a quantitative field.
- Financial or mortgage industry experience is required.
- Demonstrated expertise developing production-grade software systems using Python as a core language.
- Expertise in VBA and SQL.
- Advanced knowledge of fixed-income derivatives and options.
- Strong analytical thinking, practical problem-solving, partnership, communication, and diplomacy skills.
- Strong Microsoft Excel skills.
- Experience with GitHub and Autosys is preferred.
- Experience preparing model validation and governance documents is preferred.
- Willingness to learn and a can-do attitude.
Benefits
- Medical, dental, and vision coverage may be available to eligible employees.
- 401(k), life, accident, and disability insurance may be available to eligible employees.
- Wellness programs may be available to eligible employees.
- Paid vacation, sick leave, and holidays are offered.
- Full-time role based in New York, New York.
- Base salary range is $176,720.00–$265,080.00, with potential discretionary and formulaic incentive and retention awards.
About Citi
Citi's mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have over 200 years of experience helping our clients meet the world's toughest challenges and embrace its greatest opportunities. We are Citi, the global bank – an institution connecting millions of people across hundreds of countries and cities. For information on Citi’s commitment to privacy, visit on.citi/privacy.