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Balance Sheet Management Group Manager, IRRBB Model Governance SVP / C14
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$125,200 - $187,800 a year
- Citi Treasury's Balance Sheet Management (BSM) unit is responsible for the methodology and execution of the firm's Asset Allocation, Funds Transfer Pricing (FTP) and Interest Rate Risk in the Banking Book (IRRBB) processes.
- Participate in the strategic modeling approach taken for the forecasting of elements of the Interest Rate Risk in Citi's balance sheet and income statement, for use in Citi's interest risk management processes, and for regulatory-based stress testing processes.
- These elements would cover modeling of components of Interest Risk Exposure (IRE), Economic Value Sensitivity (EVS), estimation of the runoff profile of the non-defined maturity deposits, according to the regulatory guidelines related to the Interest Rate Risk in the Banking Book (IRRBB).
- engaging with key stakeholders from Treasury IRR and Non-Trading Market Risk in discussions about model development, their structure and impact on IRRBB.Document models and validate them in accordance with the Model Risk Management Policy.
- Work with Model Risk Management to review assumptions, model methodologies, model implementation, model output, and explain back-testing failures.
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