Citi Group Balance Sheet Management Senior Vice President C14 Mumbai 

Malaysia, Penang, George Town 

20085784

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.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.

Time Type:

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