Balance Sheet Mgmt Sr. Analyst - C12 - MUMBAI

The individual will work in Interest Rate Risk in the Banking Book (IRRBB) Management team within Citi’s Corporate Treasury.  The IRRBB Management team is responsible for measuring, reporting and managing Interest Rate Risk in the Banking Book across the firm.  IRRBB Mgmt 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 IRRBB 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 IRRBB Citi and CBNA Analysis Team provides key analysis and insight into IRRBB for various IRRBB Units including Citigroup, CBNA, consolidated businesses and CTI. The team is responsible for providing the IRRBB Unit teams with the information needed to understand and manage IRRBB for their respective units.  The team is responsible for providing analysis of the structure of IRRBB covering GAP Risk, Curve Risk, Basis Risk and Optionality Risk.  The team will provide analysis on the evolution of IRRBB, how the key assumptions and constraints impact the exposure and management of IRRBB.  The IRRBB Analysis Team will also play a key role in defining and reshaping how Citi manages IRR.  IRRBB management is being enhanced as part of a significant investment to build out Citi’s IRRBB capabilities.  The analysis team will help to define and implement the improvements being made to the way that IRRBB is measured and managed across Citi.

Business / Team Overview:

The Interest Rate Risk Management team is responsible for developing, maintaining and enhancing Citi’s interest rate risk management framework and process

Key contributor to Citi’s interest rate hedging and positioning strategy

Some of the key responsibilities in the role:

• Enhance and strengthen the overall framework and governance of IRRBB
• Engage country Treasurers and local businesses on optimizing IRRBB and FTP while complying with local regulatory requirements
• Drive enhancements to Citi's IRRBB framework (policy, governance, models, methodologies, reporting, controls, processes, risk limits, analytics, data
• Contribute to interest rate risk management (hedging and positioning) strategy and process
• Own several IRRBB related analysis and reporting required for enterprise risk management, compliance and audit exercises
• Make presentations to senior management and working groups
• Enhance alignment between IRRBB and Fund Transfer Pricing (FTP) methodologies with the objective of minimizing residual interest rate risk in the businesses

Development Value:

• Gain exposure to balance sheet and interest rate risk management at a leading global bank
• The role provides an opportunity to influence and shape Citi’s target/future state interest rate risk management framework as it undergoes extensive enhancements

What knowledge, skills and experience we’ll need from you:                                                                                                

• 5-8 years' experience within financial services preferably in a Bank’s Corporate Treasury function
• Experience building, enhancing and executing an ALM/IRRBB management framework (policy, governance, models, methodologies, reporting, controls, processes, risk limits, analytics, data)
• Strong communication skills, both oral and written
• Excellent analytical and problem-solving ability
• Ability to multi-task and ability to work under pressure
• Bachelors degree, preferably Masters degree

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