Citi Group Director Balance Sheet Management Interest 

Malaysia, Penang, George Town 

78126892

Director, Balance Sheet Management (Interest Rate Risk / Foreign Currency Risk)(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.

The Balance Sheet Management Senior Group Manager exhibits In-depth understanding of understanding of bank balance sheet management and optimization, and how Asset Liability Management (ALM) including Interest Rate Risk in the Banking Book (IRRBB) management, Non-Trading Market Risk such as Foreign Currency Risk in the banking book(FXRBB), and Funds Transfer Pricing (FTP) contribute to achieving Corporate Treasury’s balance sheet optimization objectives.

Requires thorough understanding of strategic direction of the function within the relevant part of the business, combined with a solid conceptual/practical grounding in both the function and/or area of expertise and related subject areas. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication/negotiation may be necessary.

In this role, you’re expected to:

• Contribute to Balance Sheet Managers (BSM) management process by providing key analytical insights across BSM functions, including Asset Allocation, FXRBB, OCI stress Testing and Pension. Provide leadership and subject matter expertise for enhancing BSM’s analytics and non-trading market risk models.

• Liaise with businesses, legal entity treasury, Controllers, CTI, Markets Treasury, and modeling teams to ensure key business use cases are supported with analytical, quant, and modeling insights for NTMR excluding IRRBB function.

• Manage prototyping and development of advanced (industry leading) modeling and analytics for BSM management use cases.

• Interact with senior management and governance committees. Provide subject matter expertise to translate advanced and industry leading analytics (across optimization techniques, machine learning, and AI) into actionable business and management use cases and to drive B/S optimization with particular focus on NTMR excluding IRRBB function

• 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.

• Manage a team of expert quantitative modelers

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 broad years of relevant experience in a Treasury / Asset and Liability Management and Non-Trading Market Risk functions

• Extensive years of experience in quantitative model development

• Advanced knowledge in financial engineering, financial markets, and the interest rate business

• Experienced with non-trading market risk such as foreign currency risk in the banking book, debt investment securities , 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

• Ability to break down complex technical topics with a clear focus on business impact

• Excellent oral and written communication skills

• Established effective leadership and management skills with ability to build relationships

• Clear concise communication skills, both oral and written

• Excellent analytical and problem-solving ability

• Solid understanding of the Treasury function within a bank

• Ability to multi-task and ability to work under pressure

Time Type:

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