Asset Backed Securities Quantitative Analyst-AVP
Core
Build analytics models and regulatory capital models (Basel, CCAR) for Citi's asset-backed securities financing and securitization business.
Role type
Senior IC quantitative analyst (ABS)
Builds
Regulatory capital models and analytics libraries for ABS facilities backed by auto and personal loans
Domain
Financial services / Asset-Backed Securities
Deliverable
production ML models
Required skills
Python, SQL, C++, statistics, probability theory, numerical methods, market data analysis, structured products knowledge
Preferred skills
Git, Github Copilot, AI tools
Technologies
Python, SQL, C++, Git, Github Copilot
Responsibilities
Build and maintain analytics libraries for credit analysis; Develop quantitative models for ABS Financing and Securitization; Design Basel and CCAR capital models; Partner with traders and structurers to turn market needs into solutions; Work with Risk, Audit, and Finance teams to maintain governance standards
Seniority
Mid-level (1-3 years), hands-on IC