Job Description

The Balance Sheet Mgmt Sr Ld Anlst is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Typically a small number of people within the business that provide the same level of expertise. Excellent quantitative and communication skills required in order to negotiate internally, often at a senior level. Necessitates a degree of responsibility over technical strategy. Primarily affects a sub-function. Responsible for handling staff management issues, including resource management and allocation of work within the team/project.Responsibilities:

• Estimation, calibration and implementation of behavioral assumption models for the banking book including, but not limited to business/retail product embedded optionality including prepayment assumption for residential and commercial mortgage securities and loans, and non-maturity deposit duration profile.
• Application of applied econometric and AI techniques to build predictive models for banking book product behavior in response to changes in interest rates and macro variables.
• Monitoring and back-testing key model assumptions (e.g., mortgage prepayment speeds, term deposit redemptions, product rate betas, decay profiles). Document implication to IRR profile of behavioral assumption model parameter changes.
• Econometric and AI modeling and programming in support of model estimation, implementation, monitoring, and back testing
• Actively engage in mutual dialogue and interaction with the business as well as with supporting functions including Risk Management and Finance, especially respondence on queries and issues from Risk Management related to behavioral modelling.

Qualifications

• An advanced degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline and 10+ years of relevant experience in a Treasury / Asset and Liability Management function
• 7+ years in quantitative model development
• Advanced knowledge in financial engineering, financial markets, and the interest rate business
• Experienced with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation
• Ability to apply techniques from numerical analysis, statistics, applied econometrics and financial mathematics to build predictive models for behavioral assumptions
• Proficiency using Python, VBA, SQL as well as the MS Office suite

Job Family Group: FinanceJob Family: Balance Sheet ManagementTime Type: Full timeCiti 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 .View the " " poster. View the .View the .View the

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