Balance Sheet Management Modeling – AVP, Citi

Citi

Location:
India, Mumbai

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

Save Job

Apply Position

Job Description:

The Balance Sheet Management Sr. Analyst is a seasoned professional role responsible for developing statistical and non-statistical methodologies for balance sheet management. This team plays an important role in overall balance sheet management and has direct impact on Citigroup's Capital. The models and tools are built using standard sophisticated modeling techniques used across industry which helps in better Interest rate risk management for the firm.

Job Responsibility:

End-to-end development and governance and support of models in treasury/IRRBB space
End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes
Calculation of Net Interest Income (NII), Non-Interest Revenue (NIR), Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), and other associated interest rate risk metrics
Model governance and support includes reviewing and timely submission of model documentations such as Model development document (MDDs), Annual Model Review (AMRs), Ongoing Performance Assessment (OPAs), Model Change Addendum (MCAs), Limitation Record Change (LRCs) to Model Risk Management
Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation
Present technical matters in a way that is meaningful to the audience and align with Model Risk Management on modeling and validation practices
Build key relationships with finance and business teams
Create a culture of accountability and strict quality control of the data integrity and modeling processes

Requirements:

6-8 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
Experience in developing econometric models and deep understanding of statistical techniques such as Linear Regression, Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration and Machine Learning Techniques
Working experience with Artificial Intelligence/Machine Learning techniques and packages (ChatGPT, Copilot)
Hands-on experience in programming and modeling using Python and related packages (GitHub, DataFlame) is must
Experience with SQL and databases
Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning
Broad understanding of financial products, accounting principles, investment, accrual products and corporate finance concepts
Excellent presentation skills
Ability to build key cross functional and cross business relationships
Team management skills and ability to managing multiple projects and deadlines

Nice to have:

Certifications such as FRM, CFA is a plus
Working knowledge of statistical packages like SAS/R is a plus
Experience in excel VBA is plus

Additional Information:

Job Posted:
September 27, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Balance Sheet Management Modeling – AVP