Balance Sheet Management Modeling, Citi

Citi

Location:
India, Mumbai

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The role involves developing statistical and non-statistical methodologies for balance sheet management and treasury functions. Responsibilities include end-to-end model development, governance, and maintenance. Candidates should possess strong analytical, statistical, and communication skills and must demonstrate expertise in programming, econometrics, and financial domain knowledge.

Job Responsibility:

End-to-end development and governance of models in treasury/IRRBB space
development of econometric forecasting models for balance sheet and income statement line items
calculation of Net Interest Income, Non-Interest Revenue, Interest Rate Exposure, Economic Value Sensitivity, and other associated interest rate risk metrics
creation and maintenance of a comprehensive modeling system for data quality and modeling methods
submission of key model documentation to stakeholders
building key relationships with finance and business teams
presenting technical matters in a way meaningful to the audience
fostering a culture of accountability and strict quality control of data integrity and processes.

Requirements:

8+ years of relevant statistical modeling/econometrics experience in the financial domain
PG/Masters/PhD in a quantitative discipline such as Statistics, Economics, Mathematics, or related
certifications such as FRM, CFA are a plus
experience in developing econometric models and statistical techniques like Linear Regression, Logistic Regression, Time Series
working knowledge of Artificial Intelligence/Machine Learning techniques and packages
hands-on experience in programming and modeling using Python and related packages
working knowledge of SAS/R is a plus
experience with SQL and databases, Excel VBA is a plus
domain knowledge in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning
strong presentation skills
ability to synthesize quantitative and qualitative data
team management skills and ability to manage multiple projects and deadlines.

Nice to have:

Certifications such as FRM, CFA
working knowledge of statistical packages like SAS/R.

What we offer:

Equal opportunity employer
inclusion in company’s diversity and accessibility initiatives.

Additional Information:

Job Posted:
May 15, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Balance Sheet Management Modeling