Balance Sheet Management Group Manager, IRRBB Model Governance SVP/C14

Job Background

Citi Treasurys Balance Sheet Management (BSM) unit is responsible for the methodology and execution of the firms Asset Allocation, Funds Transfer Pricing (FTP) and Interest Rate Risk in the Banking Book (IRRBB) processes.

Within the Asset Allocation team, BSM Model Development and Governance team is responsible for end-to-end development and governance aspects of the wide variety of statistical/quantitative and qualitative models used within Treasury.

The Balance Sheet Management Group Manager (SVP) is a seasoned professional leadership role. The Manager is expected to lead a team of modeling professionals and champion major projects and initiatives within the team, with particular focus on Interest Rate Risk in Banking Books (IRRBB) modeling aspects. The Manager is also expected to apply in-depth disciplinary knowledge, contributing to the development of new methodologies (statistical and non-statistical), data processing, visualization and analysis tools and approaches, and the improvement of processes and workflows for the Balance Sheet Management function.

Key Responsibilities

• Participate in the strategic modeling approach taken for the forecasting of elements of the Interest Rate Risk in Citis balance sheet and income statement, for use in Citis interest risk management processes, and for regulatory-based stress testing processes. These elements would cover modeling of components of Interest Risk Exposure (IRE), Economic Value Sensitivity (EVS), estimation of the runoff profile of the non-defined maturity deposits, according to the regulatory guidelines related to the Interest Rate Risk in the Banking Book (IRRBB).
• Maintain strong model governance processes related to the model governance and end-user computing (EUC) management. Establish and document procedures and controls to ensure robustness of performed functions, and compliance with all applicable Citis Policies and Procedures.
• Lead the development and testing of variety of specialized quant models related to IRR management, including:
  • engaging with key stakeholders from Treasury IRR and Non-Trading Market Risk in discussions about model development, their structure and impact on IRRBB.
  • Document models and validate them in accordance with the Model Risk Management Policy.
  • Work with Model Risk Management to review assumptions, model methodologies, model implementation, model output, and explain back-testing failures.
  • Address limitations raised by Model Risk Management ("MRM") by applying relevant compensation controls that include further elaboration or additional testing as appropriate.
  • Perform an update on the EVS and IRE model interconnectedness on quarterly basis. This process aims to keep the model inventory and upstream model mapping/inventory up to date.
  • Ensure an ongoing model monitoring plan is developed and submit model monitoring reports to Model Risk Management ("MRM").
• Manage the team of model development/governance analysts. Guide the team in the execution of their activities, and provide overall leadership, create a culture of accountability and strict quality control of the data integrity and modeling process
• Partner with Citis business leaders and Technology teams in the development, implementation, documentation and use of models.
• Assist in coordinating and liaising with businesses and functions to educate and garner support for project initiatives. Build key relationships with finance and business teams
• Excellent oral and written communication skills, including ability to present technical matters in a way that is meaningful to the audience
• Ability to influence people and empower team members to be proactive and focused on partnerships and results
• Contribute and support other cross-group projects and initiatives.

Other requirements:

• 10+ years of relevant statistical /econometrics experience in financial services
• Masters / PhD in quantitative discipline such as Statistics, Economics or related discipline
• Experience in Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning
• Experience in developing econometric models
• Extensive hands-on experience in programming and modeling using SAS and/or Python, and extensive experience with SQL databases.
• Excellent presentation skills; the ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making
• Ability to build key cross functional and cross business relationships
• Broad and deep understanding of accounting principles, investment, accrual products and corporate finance concepts
• Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines
• High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress.

Exceptional candidates who do not meet all of the criteria may be considered for the role.

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Job Family Group:

Finance

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Job Family:

Balance Sheet Management

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Time Type:

Full time

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Primary Location:

Getzville New York United States

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Primary Location Full Time Salary Range:

$125,200.00 - $187,800.00

In addition to salary, Citis 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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Anticipated Posting Close Date:

Apr 15, 2024

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

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