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Citigroup SVP - Banking Book Interest Rate Risk - ALM Methodology Team Leader in New York, New York


The individual will work in Interest Rate Risk (IRR) team within Citi’s Corporate Treasury. The IRR team is responsible for measuring, reporting and managing Interest Rate Risk in the Banking Book across the firm. IRR partners with businesses and functions across the firm to establish and implement comprehensive Interest Rate Risk metrics to enable the measurement and management of the IRR across Citi. Interest Rate Risk in the Banking Book exists in balance sheets across Citi and the IRR team covers the global Citi balance sheet.

The Model and Methodology team is responsible for the following:

  • Acquiring and maintaining an expert level of understanding about IRR models, methodologies, assumptions and calculations in Treasury systems (e.g. RUBY platform).

  • Analyzing, designing, substantiating and proposing changes or enhancements to existing IRR methodology and key assumptions.

  • Testing and documenting the models that support management of Citi’s IRR in the Banking Book.

  • Interacting with Model Risk Management on all aspects of the model approval and review process.

  • Supporting the Model Sponsor to ensure all models adhere to Model Risk Management’s requirements, including analysis and documentation of model development documentation, model performance assessments, ongoing monitoring plans and annual model reviews.

  • The team also supports the broader Treasury ALM quantitative and analytical needs, including the IRR Model and Methodology Committee.

Key Responsibilities:

The primary responsibility is to ensure that IRR methodology is designed and implemented in a way that captures and measures effectively the firm’s interest rate exposure and its associated components.

  • Working closely with the IRR modeling team to define IRR methodology and key assumptions.

  • Providing analytical support to ensure that IRR methodology is developed and implemented accurately.

  • Perform detailed technical analysis to substantiate IRR methodology and assumptions.

  • Ensure consistency amidst various IRR methodologies used across different balance sheet products and businesses.

  • Researching, developing and proposing “best-practice” approaches and solutions to IRR methodological problems.

  • Prepare documentation and presentations to support senior management decision-making about IRR methodologies.

  • Manage other members of the team.


  • A bachelor or master degree in finance, economics or another business-related area; advanced degree in a quantitative field is a strong plus.

  • Minimum 5 years of experience in financial services/banking, preferably Treasury or Market Risk at a global financial services institution.

  • Proven track-record managing Interest Rate Risk in Banking Book and knowledge of Banking balance sheet products.

  • Hand-on experience with quantitative and qualitative financial modelling methods.

  • Strong technology and quantitative skills, with attention to detail. Advanced MS Office skills (Excel, VBA, PowerPoint). Programming in Python is a strong plus.

  • Excellent communication and presentation skills.

  • Willingness to take ownership and execute on deliverables.

  • Ability to interact and collaborate effectively with other team members and colleagues in other departments.

  • People-management experience

Development Opportunities:

  • Unique opportunity to gain exposure to Citi’s Interest Rate Risk Management at a senior level.

  • Develop a set of quantitative and qualitative skills that would enable the individual to become a seasoned Treasury professional.

Job Family Group:


Job Family:

Balance Sheet Management

Time Type:

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