Citi Group Interest Rate Risk Analytics & Reporting Director 

United States, District of Columbia, Washington 

130928766

Department Description

The Non-Trading Market Risk (NTMR) Operations within Treasury Chief Administrative Office (CAO) is responsible for reporting, analytics and data quality controls related to the firm’s Interest Rate Risk on Banking Book (IRRBB) and Credit Spread Risk arising from non-trading book activities (CSRBB). NTMR Operations’ main responsibilities include:

• Perform the monthly IRR reporting and analytics for Citigroup/CBNA as well as +70 IRRBB units at both legal entity and business level
• Lead data error identification, notification and adjustments
• Limit monitoring of IRR metrics
• Design, implement and monitor data quality controls in the IRR platform (RUBY)
• Provide oversight and governance for RUBY data quality and production to ensure it fits for purpose
• Manage the production and execution of the Ruby Data Forum, which increases transparency for critical deliverables and establishing a robust governance process
• Work closely with multiple groups within Treasury, Finance Chief Data Office, FP&A, and Technology to drive improvements in upstream data quality, enhance controls, and ensure successful process execution

Responsibilities

The Interest Rate Risk Analytics & Reporting Senior Group Manager is responsible for oversight, completeness and accuracy of the production of Interest Rate Risk in Banking Book (IRRBB) metrics. The incumbent will manage a team of +10 FTE’s responsible for producing and analyzing IRRBB metrics for Citigroup and CBNA. Responsibilities include but not limited to:

• Provide oversight of completeness and accuracy of the monthly IRR metrics production. Timely escalation of issues and engage with key stakeholders for proper resolution.
• Provide guidance to the team on IRR analysis. This will include the effects of interest rates on both Net Interest Revenue and Capital for the Interest Rate Risk Banking Book balance sheet.
• Validation of cash flows to explain risk drivers. Analysis of deposit modeling behavior, investment securities, derivatives and loans including mortgages.
• Engage with members of Treasury, FP&A and Finance to explain drivers of variances in interest rate risk measures.
• Enhance the end-to-end IRR reporting and analysis process by identifying potential process improvements and capabilities to increase consistency, transparency, and reliability of accrual interest rate risk reporting and analysis.
• Ensuring correct product risk modeling, data accuracy, and balance sheet forecasting to establish precise factor calculation for Interest Rate Risk Management.
• Ensure delivery of Regulatory tracked Monthly Interest Rate Risk Metrics to Senior Management by T+30
• Ensure compliance with BCBS 239

Qualifications

• Bachelor's Degree plus 10+ years related experience or a master’s degree plus relative experience in the financial services industry.
• Experience with Interest Rate Risk and Banking Book products (deposits, loans, debt, investments, derivatives, etc.) a plus.
• Industry qualifications such as CFA, FRM will be a plus
• Highly motivated, proficient Excel/Data analysis and the ability to multi-task.
• Good communication skills

Anticipated Posting Close Date:

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