Citi Group Balance Sheet Mgmt Analyst - C10 MUMBAI 

Malaysia, Penang, George Town 

742875429

Balance Sheet Management Modeling – Analyst (C10)

The Balance Sheet Management Analyst is a seasoned professional role. The Analyst is expected to apply in-depth disciplinary knowledge, contributing to the development of new methodologies (statistical models and tools), data processing, visualization and analysis tools and approaches, and the improvement of processes and workflows for the Balance Sheet Management function.

Key Responsibilities:

The Analyst will be responsible for end-to-end development support of statistical models covering such asset classes as Deposits or Fixed Income Securities, or specific function such as Asset Allocation strategy. As part of those responsibilities, the Analyst would be expected to demonstrate analytical/statistical skills in the design, implementation, governance of models, strong communication skills in documenting and presenting their work, stakeholder management and interaction skills allowing the analyst to clearly and efficient understand requirements and supports in developing a model or approach to meet those requirements. For non-statistical modeling projects / tasks, the Analyst should demonstrate good analytical skills to filter, prioritize and validate potentially complex and dynamic material from multiple sources.

The detailed responsibilities include:

• End-to-end development support, and governance of models in treasury/IRRBB space.
• End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non-Interest Revenue (“NIR”), Interest Rate Exposure (“IRE”), Economic Value Sensitivity (“EVS”), Funds Transfer Pricing (“FTP”) and other associated interest rate risk metrics.
• Applies analytical thinking and knowledge of statistics / modeling / data analysis tools and methodologies. Gives attention to detail when making judgments and analytical recommendations based on the analysis of information. Typically deals with variable issues with potentially broader business impact. Applies professional judgment when interpreting data and results.
• Model governance and support includes reviewing and timely submission of model documentations such as - Model development document (MDDs), Annual Model Review (AMRs), Ongoing Performance Assessment (OPAs), Model Change Addendum (MCAs), Limitation Record Change (LRCs) to Model Risk Management and other stakeholders.
• Must be able to present technical matters in a way that is meaningful to the audience

Qualifications and other Requirements:

• 2-4 years of relevant statistical modeling /econometrics experience in financial domain.
• PG / Masters / PhD in quantitative discipline such as Statistics, Economics, Mathematics, or related discipline is preferred. Certifications such as FRM, CFA is a plus.
• Experience in development of models and metrics related to the Assets/Liability Management (ALM)/Interest rate Risk in Banking Book (IRRBB). Deep understanding of IRE, EVE/EVS and FTP concepts. Experience in behavioral modeling of non-defined maturity products is a plus.
• Hands-on experience in developing econometric models and deep understanding of statistical techniques such as Linear Regression, Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.
• Working experience with Artificial Intelligence/Machine Learning techniques and packages (ChatGPT, Copilot) etc.
• Hands-on experience in programming and modeling using Python and related packages (GitHub, DataFlame) is must.
• Experience with SQL and databases. Experience in excel VBA is plus.
• Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning, etc. Broad understanding of financial products, accounting principles, investment, accrual products and corporate finance concepts preferred.
• Demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making
• Ability to managing multiple projects and deadlines.

Job Location: Mumbai

Job Level: C10

Job Type: Regular / Full time

Time Type:

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