We live in an increasingly complex world. Companies these days are either born global or are going global at record speed. Business and geopolitics are forging an entirely new dynamic and consumers now expect financial services to be a seamless part of their digital lives. Citi is a bank that’s uniquely positioned for this moment. Through our vast global network and our on-the-ground expertise, we can connect the dots, anticipate change and empathize the needs of our clients and customers in ways that other banks simply cannot.
Shape your Career with Citi
Citi’s Risk Management organization oversees Citi’s risk governance framework and risk appetite, ensures all risks generated by the firm’s businesses are measured, reviewed, and monitored on an ongoing basis
We’re currently looking for a high caliber professional to join our team as Director, Balance Sheet Management- Hybrid (Internal Job Title: Balance Sheet Management Senior Group Manager - C15) based in Mumbai, India. Being part of our team means that we’ll provide you with the resources to meet your unique needs, empower you to make healthy decision and manage your financial well-being to help plan for your future. For instance:
Citi provides programs and services for your physical and mental well-being including access to telehealth options, health advocates, confidential counseling and more. Coverage varies by country.
We empower our employees to manage their financial well-being and help them plan for the future.
Citi provides access to an array of learning and development resources to help broaden and deepen your skills and knowledge as your career progresses.
In this role, you’re expected to:
The Balance Sheet Management Senior Group Manager will manage a quantitative modeling team be responsible for research, model development on behavioral assumption of banking products, documentation and submission work on model validation review/update/changes and back testing along with model variance testing and attribution.
The successful candidate will work closely with various teams across Corporate Treasury, Finance Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.
Estimation, calibration and implementation of behavioral assumption models for the banking book including, but not limited to business/retail product embedded optionality including prepayment assumption for residential and commercial mortgage securities and loans, and non-maturity deposit duration profile.
Application of applied econometric and AI techniques to build predictive models for banking book product behavior in response to changes in interest rates and macro variables.
·Monitoring and back-testing key model assumptions (e.g., mortgage prepayment speeds, term deposit redemptions, product rate betas, decay profiles). Document implication to IRR profile of behavioral assumption model parameter changes.
Econometric and AI modeling and programming in support of model estimation, implementation, monitoring, and back testing
Actively engage in mutual dialogue and interaction with the business as well as with supporting functions including Risk Management and Finance, especially respondence on queries and issues from Risk Management related to behavioral modelling.
As a successful candidate, you’d ideally have the following skills and exposure:
An advanced degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline and extensive years of relevant experience in a Treasury / Asset and Liability Management function
Broad number of years’ experience in quantitative model developmentAdvanced knowledge in financial engineering, financial markets, and the interest rate business
Experienced with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation
Ability to apply techniques from numerical analysis, statistics, applied econometrics and financial mathematics to build predictive models for behavioral assumptions
Nice to have proficiency using Python, VBA, SQL as well as the MS Office suite
Working at Citi is far more than just a job. A career with us means joining a family of more than 230,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact.
Take the next step in your career, apply for this role at Citi today
https://jobs.citi.com/dei
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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.
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