The Senior Balance Sheet Management Analyst will 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.
Qualifications:
Ability to apply techniques from numerical analysis, statistics, applied econometrics and financial mathematics to build predictive models for behavioral assumptions
Proficiency using Python, VBA, SQL as well as the MS Office suite
5-8 years relevant experience
Knowledge in financial engineering, financial markets, and the interest rate business is preferred
Experience with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation
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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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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.
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