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VP, Trading Desk Information Mgmt / Quantitative Analyst - SQL, VBA - Capital Markets, CitiMortgage

Job Req ID 22524359 Location(s) New York, New York Job Category Decision Management
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The Data/Information Mgt Analyst is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Responsibilities

  • Design, implement and maintain software systems to help Held-To-Maturity and Mortgage Servicing Rights traders to manage their portfolio positions by applying financial risk metrics and mortgage metrics.
  • Use software libraries to upgrade existing portfolio analytics suite to incorporate regulatory mandated transitions, such as migrating from London Interbank Overnight Rate to Secured Overnight Funding Rate.
  • Assist Mortgage Servicing Rights and Held-To-Maturity traders to understand the impact of transitions between various valuation models for assets and/or hedges on risk metrics of portfolios, using Fixed income mathematics.
  • Use Structured Query Language and Visual Basic to implement, debug, and maintain stress-testing software for Held-To-Maturity portfolio for semiannual government reporting and monthly, internal reporting in accordance with Comprehensive Capital Analysis and Review requirements, including regression testing.
  • Develop programs to automate manual tasks performed by mortgage traders of Correspondent/Mandatory trading desk to increase efficiency in the bidding process of prospective loans to be on-boarded.
  • Collaborate with internal Risk, Finance, Audit and external vendors, to implement, debug, and maintain risk reporting and database infrastructure for portfolio analysis.
  • Modify software using various programming languages to correct errors and extend functionality, develop and direct software system testing, validation procedures, programming and documentation.
  • Analyze user needs and software requirements for projects to determine feasibility of design given time and cost constraints. Document all aspects of applications and systems used by the trading desk for reference, maintenance, and future upgrades.
  • Generate data feeds to downstream users such as market risk, regulatory reporting, product control
  • Support strong controls over code management, release procedures, code protection protocols in conformity with firm policies


Qualifications:

  • 2-7 years of experience
  • Working experience in a quantitative field, Financial/Mortgage industry required
  • Fixed Income knowledge
  • Excellent analytical thinking, practical problem solving abilities, and partnership skills
  • Expertise in VBA and SQL required, experience with other languages, such as Python preferred
  • Strong MS Excel skills
  • Willing to learn and can-do attitude


Education:

  • Bachelors/University degree, Master’s degree preferred


This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Job Family Group:

Decision Management

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Job Family:

Data/Information Management

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Salary Range:

$132,320.00 - $198,480.00

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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