Citi Group Director - Balance Sheet Management Senior Group Manager Hybrid 

Malaysia, Penang, George Town 

514242375

Director, Balance Sheet Management- Hybrid(Internal Job Title: Balance Sheet Management Senior Group Manager - C15) based in Mumbai, India.Being part of our team means that we’ll provide you with the resources to meet your unique needs, empower you to make healthy decision and manage your financial well-being to help plan for your future. For instance:

• Citi provides programs and services for your physical and mental well-being including access to telehealth options, health advocates, confidential counseling and more. Coverage varies by country.

• We empower our employees to manage their financial well-being and help them plan for the future.

• Citi provides access to an array of learning and development resources to help broaden and deepen your skills and knowledge as your career progresses.

In this role, you’re expected to:

The Balance Sheet Management Senior Group Manager will manage a quantitative modeling team be responsible for research, model development on behavioral assumption of banking products, documentation and submission work on model validation review/update/changes and back testing along with model variance testing and attribution.

• The successful candidate will work closely with various teams across Corporate Treasury, Finance Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.

• 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.

As a successful candidate, you’d ideally have the following skills and exposure:

• An advanced degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline and extensive years of relevant experience in a Treasury / Asset and Liability Management function

• Broad number of years’ experience in quantitative model developmentAdvanced 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

• Nice to have proficiency using Python, VBA, SQL as well as the MS Office suite