Balance Sheet Management Intmd Analyst, Citi

Citi

Location:
India, Mumbai

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The Balance Sheet Management Intmd Analyst is responsible for developing statistical and non-statistical methodologies, data processing, and visualization tools for the treasury group. The role involves end-to-end development of econometric models for interest rate risk management in the banking book and contributing to the capital and business planning process. Regular interaction with Model Risk Management and internal stakeholders is required.

Job Responsibility:

End-to-end development and governance and support of models in treasury/IRRBB space
end-to-end model development including econometric forecasting models for key balance sheet and income statement line items
calculation of Net Interest Income (NII), Non-Interest Revenue (NIR), Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), Funds Transfer Pricing (FTP), and other associated interest rate risk metrics
applies analytical thinking and knowledge of statistics/modeling/data analysis tools
attention to detail when making judgments
timely submission of model documentations to stakeholders
develop and maintain a comprehensive modeling system for data quality and consistency
align with Model Risk Management on modeling and validation practices
present technical matters in a meaningful way
influence and empower team members to focus on partnerships and results.

Requirements:

4-6 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 development of models and metrics related to the Assets/Liability Management (ALM)/Interest rate Risk in Banking Book (IRRBB)
understanding of IRE, EVE/EVS, and FTP concepts
experience in behavioral modeling of non-defined maturity products is a plus
extensive hands-on experience in developing econometric models
knowledge of statistical techniques such as Linear Regression, Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated regression, and Cointegration
working experience with Artificial Intelligence/Machine Learning techniques
extensive experience in programming and modeling using Python
working knowledge of statistical packages like SAS/R is a plus
experience with SQL and databases
experience in Excel VBA is a plus
domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning
demonstrated analytical skills.

Nice to have:

Certifications such as FRM, CFA
experience in behavioral modeling of non-defined maturity products
working knowledge of statistical packages like SAS/R
experience with Excel VBA.

Additional Information:

Job Posted:
May 29, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Balance Sheet Management Intmd Analyst