Vice President, Non-Trading Market Risk (NTMR) Lead Analyst (Hybrid)

The Balance Sheet Management Lead Analyst provides support to the BSM NTMR manager with bank balance sheet management and optimization, balancing financial resources among different competing priorities and how other Non-Trading Market Risk such as FXRBB, Commodity/Equity/CSRBB risk and OCI capital at risk and allocation of cash into debt investment securities contribute to achieving Corporate Treasury’s balance sheet optimization objectives and Citi’s strategic goals. Ability to learn and understand strategic direction of the function within the relevant part of the business. Good communication skills is required in order to collaborate and engage a wide range and level of stakeholders. The role is to provide support to the NTMR manger with executing functional strategy in the designed area. Assist with determining approach to implementing functional strategy and assisting the NTMR manager with reflecting strategic influence on the business and interaction with other functions or businesses. 

The Balance Sheet Management Model Governance group is the critical team within the Treasury/Balance Sheet Management and is primarily responsible for ongoing maintenance and governance support of the models that are used to generate Non-Trading Marker Risk (”NTMR”) metrics within Treasury, covering Interest Rate Risk, Credit Spread Risk, Foreign Exchange Risk, valuation risk in Fixed Income and derivatives, Funds Transfer Pricing, and other related areas. 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.

Key Responsibilities:

• Provide support to the Non-Trading Market Manager with BSM’s management process by providing analytical support with a primary focus on asset allocation, FXRBB, Commodity/Equity/CSRBB risk.
• Provide support to the NTMR manager for enhancing BSM’s analytics and methodologies and establishing Citi's first-line NTMR management framework (Policy/Standard/Procedures, models, methodologies, reporting, controls, processes, analytics, data and documentation).
• Provide support to align governance and management framework, procedures and controls for all legal entities that have OCI Risk, FX risk , commodity risk, credit spread risk in the Banking Book. Provide support to the NTMR manager to liaise with businesses, legal entity treasury, CTI and Markets Treasury, and Controllers teams to ensure both an understanding and the ability to manage other non-trading market risks.
• Assist with identifying and remediating gaps in other non-trading market risk (excl IRBB) as required by Tier 1 regulations and help to remediate regulatory/audit self-identified issues concerning other non-trading market risks in the banking book and achieve target state framework. Interact with 2nd line Finance CRO function, regulators, senior management and Non-Traded Market Risk governance committees.

Qualifications and other Requirements:

• Relevant statistical modeling /econometrics, model governance or model validation experience in financial domain
• 5 to 7 + years experience in Financial Services, Treasury, and bank global liquidity investment portfolio.
• Experience with debt investment securities and non-trading market risk such as FXRBB, commodity risk, private equity risk and CSRBB is a plus
• Experience with regulatory, compliance, risk management and financial management, and data governance concerns is a plus
• Understanding of Bank ALM, Capital, and Liquidity considerations is a plus
• Proven ability to work under pressure in ambiguous environments
• Excellent communication skills are imperative i.e. ability to make complex subjects easily digestible for senior management
• Exercises proven Power Point and Excel skills
• Ability to prioritize in a fast-paced environment Ability to interact with all levels of management Must be a team player

Education:

• Bachelor’s degree in Finance and Business or related fields; advanced degree is a plus.
• Proficient with Bloomberg, fixed income analytical tools, Python and/or database
• Strong power point presentation
• Understanding of accounting general ledger

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Job Location: Mumbai

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Job Level: C13

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Job Type: Regular / Full time

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