Interest Rate Risk

5 days ago

London, United Kingdom Citigroup Inc. Full time

Team:
The individual will work in Interest Rate Risk (IRR) team within Citi’s Corporate Treasury. The IRR team is responsible for measuring, reporting and managing Interest Rate Risk in the Banking Book across the firm. IRR partners with businesses and functions across the firm to establish and implement a comprehensive Interest Rate Risk framework to enable the identification, measurement, and management of the IRR 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. Team works with business treasuries to understand the IRR including – Repricing/Maturity Mismatch Risk, Curve Risk, Basis Risk and Optionality Risk in the Banking Book.

Individual:

The IRR Analyst has a strong understanding of how IRRBB management contributes to achieving the objectives of bank balance sheet optimization. A good understanding of bank balance sheet management and optimization. Requires an understanding of strategic direction of the function within the relevant part of the business, combined with conceptual/practical grounding in both the function and/or area of expertise and related subject areas. Excellent communication skills required in order to negotiate internally. Accountable for end results and interaction with other functions or businesses with guidance from manager.

Responsibilities:
  • Contributes to banking book interest rate risk analytics, reporting and management.
  • Participates in enhancing Citi's IRRBB framework (policy, governance, models, methodologies, reporting, controls, processes, risk limits, analytics, data)
  • Part of a team which actively manages the balance sheet by ensuring adherence to established targets in order to achieve liquidity, balance sheet and capital return metrics.
  • Engages in the monitoring and reporting of interest rates.

Qualifications:

  • 10+ years of experience within financial services
  • Experience working in a bank IRRBB Treasury function (policy, governance, models, methodologies, reporting, controls, processes, risk limits, analytics, data)
  • Expert in using VBA, Python, R, and/or SQL programming languages.
  • Clear concise communication skills, both oral and written
  • Excellent analytical and problem-solving ability
  • Ability to multi-task and ability to work under pressure.
  • Strong technology, data analysis and quantitative skills, with attention to detail
  • Willingness to take ownership and execute on deliverables.
  • Team player with an ability to work well with others in a fast-paced, high-energy environment.

Specialized Skills:

  • Understanding of Interest Rate Risk in the Banking Book and Banking balance sheet products

Education:

  • Bachelors degree, preferably Masters / PhD degree in Finance, Economics, or a quantitative discipline


Development Opportunities:

  • Unique opportunity to gain exposure to entirety of Citi’s Interest Rate Risk Management strategy, process and regulatory reporting
  • Become a subject matter expert in Interest Rate Risk in the Banking Book
  • Develop a toolkit of quantitative and qualitative skillsets that would enable the individual to become an experienced Treasury professional.
  • Visibility and exposure to senior management and thought leadership

Job Family Group:

Finance

Job Family:

Balance Sheet Management

Time Type:

Full time

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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