Associate Vice President, Mortgage Quantitative Analyst Greater New York City, NY Area

The Company is seeking an Associate Vice President, Mortgage Quantitative Analyst to develop and apply advanced analytics and machine learning within its securitized products business. Responsibilities include building, implementing, and validating models to price and assess risk for residential mortgage-backed securities (RMBS), and using large financial datasets to forecast prepayments, defaults, and other credit metrics. The analyst will create data tools and reports, generate actionable analysis, and provide direct analytical support to trading activities. The role also involves collaborating with risk management, technology, and model validation teams. Candidates should have a graduate degree in computer science, mathematics, physics, engineering, or another quantitative field, along with 1–3 years of experience developing forecasting, prepayment, or default models for RMBS pricing and risk management. Experience supporting trading teams and working with mortgage databases and cash-flow analytics tools is required. Expert-level programming skills in Python, C++, and SQL, plus familiarity with machine-learning frameworks, are essential. Strong analytical and communication skills are needed to explain complex quantitative concepts to senior stakeholders.

Hiring Company

Citi