Balance Sheet Management - Assistant Vice President

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.