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SVP - Interest Rate Risk Analytics (Hybrid)

Company: Citigroup Inc.
Location: Jacksonville
Posted on: May 28, 2023

Job Description:

The Chief Risk Officer for Finance (Finance CRO) organization provides risk management oversight of the Global Finance function, including effective risk challenge and mitigation of risk for capital, liquidity, interest rate risk and Treasury investments, and ensures compliance with all risk-related regulatory requirements. In addition, the team oversees the key risk management methodologies and calculations, including CECL and IFRS9 for credit reserves, and Basel Advanced RWA.Non-Trading Market Risk Management group, as a part of the Finance CRO organization, is responsible for independent risk management of non-trading market risk, including interest rate risk in the banking book as well as market risk management of Treasury Investments. It identifies, measures, and monitors non-trading market risks and it provides independent review and challenge to the first-line activities.Responsibilities:

  • Develop a driver-based Interest Rate Risk in the Banking Book (IRRBB) Analytics Process
  • Maintain an expert level of understanding about IRR models, assumptions, and calculations
  • Challenge and validate the calculated risk metrics from established Interest Rate Risk platforms
  • Forecast Interest Rate Risk metrics to ensure senior management has accurate and timely information
  • Proved Ad Hoc analytics to support changing markets and dynamic balance sheets
  • Actively participate in the Non-Trading Market Risk stress testing program
  • Interact with various partners, including risk, treasury technology, governance, etc. to drive various initiatives and processes
  • Monitors stress loss limits as appropriateQualifications:
    • Strong analytical knowledge of IRRBB products including Interest Rate Derivatives, Securities (including MBS, USTs, Sovereigns) Mortgages, Repos, Debt, Deposits, and Loans
    • Familiar with balance sheet management activities in both static and dynamic environments
    • Excellent quantitative and technical skills
    • Prior knowledge of Citi's DP pricing tool and or Yield Book a plus
    • Strong written and verbal communication skills
    • Goal driven with excellent ability to work within a team globally
    • Highly motivated with attention to detailEducation:
      • Bachelor's degree with strong academic record in economics, finance or other quantitative field. Master's, CFA, FRM is preferred.
      • 7 to 10+ years' experience in Risk Management, Treasury, Capital Markets or other functions within a financial services sector-------------------------------------------------Job Family Group: Risk Management-------------------------------------------------Job Family:Treasury Risk------------------------------------------------------Time Type:Full time------------------------------------------------------Primary Location:New York New York United States------------------------------------------------------Primary Location Salary Range:$170,880.00 - $256,320.00------------------------------------------------------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 .View the "" poster. View the .View the .View the

Keywords: Citigroup Inc., Jacksonville , SVP - Interest Rate Risk Analytics (Hybrid), Accounting, Auditing , Jacksonville, Florida

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