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Treasury Interest Rate Risk

Job Req ID 23646237 Location(s) Buffalo, New York Job Category Finance
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The individual will work in Interest Rate Risk (IRR) team within Citi’s Corporate Treasury. The IRR team is responsible for internal Citi measuring, reporting and managing Interest Rate Risk in the Banking Book across the firm. IRR 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 IRR 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 IRR Analysis Team works with Treasurers to understand the IRR in the Business and ensure that IRR is managed appropriately across Citi. The IRR Analysis Team works with both Treasury businesses and customer businesses to understand the IRR including – Gap and Curve Risk, Basis Risk and Optionality Risk in the Banking Book. The Analysis team will prepare and analyze trends in IRR metrics across all of Citigroup and CBNA. The team will provide analysis on how the numbers are likely to change in the expected interest rate environment and extend support to CTI and Business Treasury to manage their exposure.

Key Objectives:

  • Liaise with Entity Treasurers and businesses for measuring, analyzing, reporting and managing firm-wide IRR metrics
  • Identify and analyze drivers for change in IRR and EVS metrics and drive risk appetite and limit setting process/ metrics for Citigroup, CBNA and key entities
  • Quantify sensitivity of metrics to expected rate movements and perform stress testing using variety of corporate and stress level scenarios
  • Review of IRRBB Legal Entity structure and materiality classification
  • Ensure that Option Risk, Basis Risk and Concentration Risk are adequately identified, monitored and reported
  • Provide analytical support and adequate governance to ensure that necessary risk appetite limits are approved and set up for all entities
  • Prepare analysis and track progress on regulatory deliverables and enhancements to IRR management process and controls and ensure adherence to all US regulatory requirements related to IRR
  • Key content creation and curation support in preparation and presentation of Board-level and senior management reporting and visible executive communication on IRR issues and topics
  • Work with businesses to ensure that appropriate data and infrastructure capabilities are maintained and any issues are communicated and coordinated with key partners


  • A bachelor’s degree in finance, economics, accounting, or related fields; Advanced degree preferred
  • Minimum 8-10 years of experience in financial services/banking, preferably Treasury or Market Risk
  • Strong technology, data analysis and quantitative skills, with attention to detail
  • Willingness to take ownership and execute on deliverables
  • Team player with an ability to work well with others in a fast-paced, high-energy environment.

Specialized Skills:

  • Understanding of Interest Rate Risk in the Banking Book and Banking balance sheet products

Development Opportunities:

  • Unique opportunity to gain exposure to entirety of Citi’s Interest Rate Risk Management strategy, process and regulatory reporting
  • Become a subject matter expert in Interest Rate Risk in the Banking Book
  • Develop a toolkit of quantitative and qualitative skillsets that would enable the individual to become an experienced Treasury professional
  • Visibility and exposure to senior management and thought leadership


Job Family Group:



Job Family:

Balance Sheet Management


Time Type:

Full time


Primary Location:

Buffalo New York United States


Primary Location Salary Range:

$121,040.00 - $181,560.00


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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