Balance Sheet Management Modeling

The Balance Sheet Management Sr Analyst is a seasoned professional role The Sr Analyst is expected to apply in-depth disciplinary knowledge contributing to the development of new methodologies statistical models and tools data processing visualization and analysis tools and approaches and the improvement of processes and workflows for the Balance Sheet Management function The Balance Sheet Management modeling group is the critical team within the treasury group and is responsible for developing statistical and non-statistical methodologies This team plays an important role in overall balance sheet management and has direct impact on the Citigroup s Capital The work in this space is subject to heightened regulatory focus and scrutiny This team is responsible for the development of the Deposit duration Fund Transfer Pricing Customer Pricing and other models and tools that are used in the IRRBB and treasury space The models and tools are built using the standard sophisticated well known modeling techniques used across industry which helps in better Interest rate risk management for the firm Key Responsibilities The Sr Analyst will be responsible for end-to-end development of statistical models covering such asset classes as Deposits or Fixed Income Securities or specific function such as Asset Allocation strategy As part of those responsibilities the Sr Analyst would be expected to demonstrate analytical statistical skills in the design implementation governance of models strong communication skills in documenting and presenting their work stakeholder management and interaction skills allowing the analyst to clearly and efficient understand requirements and develop a model or approach to meet those requirements For non-statistical modeling projects tasks the Sr Analyst would be required to integrates subject matter and industry expertise within a defined area Demonstrate good analytical skills in order to filter prioritize and validate potentially complex and dynamic material from multiple sources Regularly assume informal leadership roles within teams The detailed responsibilities include End-to-end development and governance and support of models in treasury IRRBB space End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes This includes the calculation of Net Interest Income NII Non-Interest Revenue NIR Interest Rate Exposure IRE Economic Value Sensitivity EVS and other associated interest rate risk metrics Applies analytical thinking and knowledge of statistics modeling data analysis tools and methodologies Gives attention to detail when making judgments and analytical recommendations based on the analysis of information Typically deals with variable issues with potentially broader business impact Applies professional judgment when interpreting data and results Model governance and support includes reviewing and timely submission of model documentations such as - Model development document MDDs Annual Model Review AMRs Ongoing Performance Assessment OPAs Model Change Addendum MCAs Limitation Record Change LRCs to Model Risk Management and other stakeholders Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods audit back test tracking annual validation which is critical in reducing the model operating risk Must be able to present technical matters in a way that is meaningful to the audience and align with Model Risk Management on modeling and validation practices and have periodic check-ins with them Ability to build key relationships with finance and business teams ability to influence people and empower team members to be proactive and focused on partnerships and results Create a culture of accountability and strict quality control of the data integrity and modeling processes Qualifications and other Requirements 8 years of relevant statistical modeling econometrics experience in financial domain PG Masters PhD in quantitative discipline such as Statistics Economics Mathematics or related discipline is preferred Certifications such as FRM CFA is a plus Experience in developing econometric models and deep understanding of statistical techniques such as Linear Regression Logistic Regression Time Series Panel Regression Error Correction Models Seemingly Unrelated regression and Cointegration and Machine Learning Techniques etc Working experience with Artificial Intelligence Machine Learning techniques and packages ChatGPT Copilot etc Hands-on experience in programming and modeling using Python and related packages GitHub DataFlame is must Working knowledge of statistical packages like SAS R is a plus Experience with SQL and databases Experience in excel VBA is plus Domain knowledge and experience in PPNR Fixed Income Securities Mortgage Modeling Deposit Modeling Asset Liability Management Interest Rate Risk Capital Planning etc Broad understanding of financial products accounting principles investment accrual products and corporate finance concepts Excellent presentation skills ability to translate complex financial schedules into meaningful presentations is critical demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making Ability to build key cross functional and cross business relationships Assume informal leadership roles within team and team management skills and ability to managing multiple projects and deadlines Education Bachelor s degree in Finance and Business or related fields advanced degree is a plus Job Family Group Risk Management Job Family Finance Risk Time Type Most Relevant Skills Business Acumen Data Analysis Financial Modeling Internal Controls Management Reporting Market Risk Problem Solving Process Execution Risk Identification and Assessment Other Relevant Skills For complementary skills please see above and or contact the recruiter Citi is an equal opportunity employer and qualified candidates will receive consideration without regard to their race color religion sex sexual orientation gender identity national origin disability status as a protected veteran or any other characteristic protected by law 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 Citi s and the poster