Balance Sheet Management Modeling Intermediate Analyst Job at Citi (Mumbai)

Job Description

The Balance Sheet Management Intmd Analyst is a seasoned professional role. The Intmd Analyst is expected to apply in-depth disciplinary knowledge, contributing to the development of new methodologies (statistical models and tools), 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 modeling group is the critical team within the treasury group and is responsible for developing statistical and non-statistical methodologies. 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. This team is responsible for the development of the Deposit duration, Fund Transfer Pricing, Customer Pricing and other models and tools that are used in the IRRBB and treasury space. The models and tools are built using the standard sophisticated well known 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
This includes the 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 and methodologies
Gives attention to detail when making judgments and analytical recommendations based on the analysis of information
Typically deals with variable issues with potentially broader business impact
Applies professional judgment when interpreting data and results
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 and other stakeholders
Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation which is critical in reducing the model operating risk
Must be able to present technical matters in a way that is meaningful to the audience and align with Model Risk Management on modeling and validation practices
Ability to influence people and empower team members to be proactive and focused on partnerships and results

Requirements

3.5+ years of relevant statistical modeling /econometrics experience in financial domain
Graduation or higher degree 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)
Deep understanding of IRE, EVE/EVS and FTP concepts
Experience in behavioral modeling of non-defined maturity products is a plus
Hands-on 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, etc.
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
Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning, etc.
Broad understanding of financial products, accounting principles, investment, accrual products and corporate finance concepts preferred
Demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making
Regularly assume informal project management roles within teams and ability to managing multiple projects and deadlines

Nice to have

Certifications such as FRM, CFA is a plus
Experience in behavioral modeling of non-defined maturity products is a plus
Working knowledge of statistical packages like SAS/R is a plus
Experience in excel VBA is plus

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Balance Sheet Management Modeling Intermediate Analyst

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