Interest Rate Risk Analysis Senior Manager (Hybrid)
Citi Bank - New York City, NY
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OverviewThe Finance Chief Risk Officer 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.The Non-Trading Market Risk Management team is a newly formed group as 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.ResponsibilitiesAnalyze global business specific interest rate risk exposure.Analysis will include the effects of interest rates on both Net Interest Revenue and Capital for the Interest Rate Risk Banking Book balance sheet.Validation of cash flows to explain risk drivers. Analysis of deposit modeling behavior, investment securities, derivatives and loans including mortgages.Engage with members of Treasury, FP&A and Finance to explain drivers of variances in interest rate risk measures.Generate and present to senior leadership monthly presentations on consolidated accrual interest rate risk metrics for Citi's Institutional Clients Group (ICG) and Personal Banking and Wealth Management Group (PBWM)Create and continually improve forecasts of Interest Rate Risk metrics including IRE and EVS.Actively participate in developing and implementing the Non Markets Trading Stress Testing Program.Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of accrual interest rate risk reporting and analysis.Ensure successful implementation of the new IRR platform for dynamic forecasting of net interest revenue under different scenarios. Ensuring correct product risk modeling, data accuracy, and balance sheet forecasting to establish precise factor calculation.Provide ad-hoc support and analysis.Qualifications:Bachelors Degree in a concentration with an analytical focus (e.g. Finance, Economics, Mathematics) plus 10-15 years related experience or a master's degree plus relative experience in the financial services industry.Experience with Interest Rate Risk and Banking Book products (deposits, loans, debt, investments, derivatives, etc.).Knowledge of ICG and/or PBWM balance sheet, PNL and forecasting process an advantageExperience with Deposit modeling, Mortgages, and MBS a plus.Experience withVBA and Yield Book is an advantageIndustry qualifications such as CFA, FRM will be a plusHighly motivated, proficient Excel/Data analysis and the ability to multi-task.Good communication skills with presentation experience.Education:Bachelor's degree, master's degree a plus
Created: 2024-05-04