Research Strategist, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

150000.00 - 175000.00 USD / Year

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Job Description:

Citigroup Global Markets Inc. seeks a Research Strategist for its New York, NY location. Responsibilities include applying mathematical and statistical techniques to analyze trends in the Mortgage-Backed Securities (MBS) industry, improving valuation tools, conducting analyses on payment and demand trends, researching portfolio optimization tools, producing written reports, and supporting senior team members. Requirements include a Bachelor’s degree in a related field and two years of quantitative analysis experience.

Job Responsibility:

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
produce written summary reports of financial research results
support senior members of the team with analysis on valuations and data requests from clients

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
utilizing programming 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
conducting relative value analysis and hedge ratio analysis using model and empirical strategies

What we offer:

medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

Additional Information:

Job Posted:
June 10, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Research Strategist