Research Strategist

Citigroup Global Markets Inc. seeks a Research Strategist for its New York, NY location.

Duties: Perform quantitative and analytical duties within the Global Strategy and Macro Group (“GSMG”) team. Apply sophisticated mathematical and statistical techniques to identify and analyze recent trends in the agency Mortgage-Backed Securities (“MBS”) industry, including fixed-rate pass-throughs, derivatives, Collateralized Mortgage Obligation (“CMOs”), and Adjustable-Rate Mortgages (“ARMs”). Analyze and improve Citi’s existing MBS prepayment and valuation analytical tools and models. Leverage quantitative skills to analyze vast amounts of data and identify key payment, issuance, and demand trends for MBS portfolios. Employ valuation tools, including prepayment models and Option Adjusted Spread frameworks to analyze the existing valuation infrastructure and to provide recommendations aimed at its improvement. Research and develop analytical tools to address issues such as portfolio construction and optimization and produce written summary reports of financial research results. Support senior members of the team with analysis on valuations and data requests from clients. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Bachelor’s degree, or foreign equivalent, in Finance, Financial Engineering, Mathematics, Statistical Science, Economics, or a related field, and two (2) years of experience in the job offered or in a related quantitative occupation performing financial and quantitative data analysis within the financial services industry. Two (2) years of experience must include: Utilizing programing and database query languages including Python and SQL to perform data extraction, data analysis, and back tests; Performing financial data cleaning, statistical analysis, and visualization with Python and Excel; Utilizing Python and Excel VBA to build tools for pricing derivatives of multi-asset target index, monitoring live and inventory risk, and calibrating model parameters; Analyzing implied volatility and its term structure as well as its implications to derivatives; Utilizing drivers for bond and securities price changes and quantifying price impact resulting from changes in those drivers; Performing financial security valuation including yield analysis, spread analysis, and option adjusted spread valuation; and Conducting relative value analysis and hedge ratio analysis using model and empirical strategies. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #25847753. EO Employer.

Wage Range:                $150,000.00 – $175,000.00/year

Job Family Group:        Research

Job Family:                  Research Analysis

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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