The Balance Sheet Management Lead Analyst is a seasoned professional role. The Lead Analyst is expected to apply in-depth disciplinary knowledge, with focusing on model governance processes for the variety of models in Treasury/Balance Sheet Management, 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 Model Governance group is the critical team within the Treasury/Balance Sheet Management and is primarily responsible for ongoing maintenance and governance support of the models that are used to generate Non-Trading Marker Risk (”NTMR”) metrics within Treasury, covering Interest Rate Risk, Credit Spread Risk, Foreign Exchange Risk, valuation risk in Fixed Income and derivatives, Funds Transfer Pricing, and other related areas. 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.

Key Responsibilities:

The Lead Analyst will be responsible for to support model governance processes within the Treasury/Balance Sheet Management, throughout the model lifecycle. As part of those responsibilities, the Lead Analyst would be expected to demonstrate analytical/statistical skills in the design, implementation, ongoing performance assessment, and other governance aspects 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. The Lead Analyst should demonstrate good analytical skills to filter, prioritize and validate potentially complex and dynamic material from multiple sources.

The detailed responsibilities include:

• Assist in the development and testing of variety of models used in calculation of NTMR metrics, stress testing, valuation and pricing of fixed income and derivative instruments, funds transfer pricing, and capital strategy and planning, in accordance with Citi’s Model Risk Management requirements, including:
  • As a part of model development, assisting in the design of the model framework, and performing a set of required statistical, quantitative and qualitative tests
  • Producing model documentation according to Model Risk Management guidelines, as well as preparing the related presentation materials to the senior management and regulators, as needed
  • Developing the appropriate model performance testing metrics, and conduct the model ongoing performance assessment processes
• Partner with Citi’s business leaders and Technology teams in the development, implementation, documentation and use of models.
• Assist in coordinating and liaising with businesses and functions to educate and garner support for project initiatives.
• Contribute and support other cross-group projects and initiatives.

Qualifications and other Requirements:

• 10 or more years of relevant statistical modeling /econometrics, model governance or model validation 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.
• Deep understanding Treasury/Balance Sheet Management concepts.
• Experience in development and/or validation of models and metrics related to the Assets/Liability Management (ALM)/Interest rate Risk in Banking Book (IRRBB), fixed income securities, financial derivatives, mortgage prepayments, liquidity management and funds transfer pricing. Experience in behavioral modeling of non-defined maturity products, or products with embedded optionality is a plus.
• Working experience with Artificial Intelligence/Machine Learning techniques and packages (ChatGPT, Copilot) etc.
• Extensive 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.
• Analytical background with problem solving skills and an ability to assimilate information across a variety of financial disciplines.
• Strong interpersonal and communication skills, both oral and written, with the ability to converse with a wide variety of people across functions / seniority.
• High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress.

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Job Location: Mumbai

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Job Level: C13

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Job Type: Regular / Full time

Take the next step in your career, apply for this role at Citi today:

https://jobs.citi.com/dei

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