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Citigroup Senior Vice President, Treasury - Interest Rate Risk and Asset/Liability Management in Queens, New York

Team:

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).

  • Understanding and analyzing IRR output and metrics.

  • Proposing changes or enhancements to existing IRR models, methodology and key assumptions.

  • Interact with the model governance team on IRR model changes and 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 models and methodology are 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 Treasury IRR team to define IRR methodology and key assumptions.

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

  • Perform technical analysis to substantiate IRR methodology and assumptions.

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

  • Developing and proposing “best-practice” approaches and solutions to IRR modeling or methodological problems.

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

Qualifications:

  • Degree in science (engineering, statistics etc) or finance/economics; PhD in science or finance is a strong plus.

  • Certificate in CQF or CFA.

  • At least 7 years of experience in financial services/banking, preferably Treasury or Market Risk, at a global financial services institution.

  • Experience managing Interest Rate Risk in Banking Book and knowledge of Bank’s balance sheet products.

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

  • Strong technology and quantitative skills, with attention to detail. Advanced Programming in VBA and Python; C++ is a plus. Experience using Latex for the production of scientific or white papers.

  • 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.

  • Entrepreneurial and self-motivated profile

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:

Finance


Job Family:

Balance Sheet Management


Time Type:


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 Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .

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Effective November 1, 2021, Citi requires that all successful applicants must be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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