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Recovery & Resolution Planning (RRP) Model Development and Governance -VP

Company: Citi
Location: Getzville
Posted on: May 27, 2023

Job Description:

The Balance Sheet Management ("BSM") unit is a division within Treasury and is part of Citigroup's broader Finance organization. Balance Sheet Management's specific responsibilities cover five key areas:

  • Asset and Liability Management (ALM):
    • FTP Governance & Execution: Establishes and oversees the policies under which business assets and liabilities are priced based on interest rates and liquidity values; executes various firm-wide transfer pricing processes; and ensures retained costs and balance sheet in Treasury are minimal through an effective allocation process
    • Interest Rate Risk Management: evaluates, analyses, and reports Interest Rate Risk in the accrual businesses for Citigroup
    • Balance Sheet Analytics & Management conducts analytics relatedto the firm's balance sheet, NIR/NIM and associated financial metrics to drive financial resource allocations, andleading on internal and external communication ofthe strategy and performance of the balance sheet
    • Capital Management & Portfolio Analytics: Proposes Capital Policy design to Capital Committee including capital targets and buffers and manages capital distribution strategy; designs the methodologies for allocating capital limits and attributing capital usage to businesses; and leads the design and delivery of portfolio management reporting and analytical capabilities to support Treasury's securities portfolios.
    • Balance Sheet Costing (Infrastructure): Leads the design, development, and implementation of the firm's Funds Transfer Pricing system.
    • Balance Sheet Costing (Methodology): Leads cross-functional working groups to design and evolve Balance Sheet costing frameworks and methodologies, which flow into the attribution of resource costs / benefits across users/providers of balance sheet resources.
    • Asset Allocation: Designs and manages Treasury's allocation process on security portfolio strategy for Citi's $400bn+ global liquidity portfolios. The team also performs the review and challenge of the Stress Testing results for securities portfolios and oversees model governance for models related to valuation and forecasting of AFS/HTM asset classes.Key Responsibilities:
      • Development of statistical or non-statistical forecasting models for key Balance sheet and income statement line items for RRP purposes
      • Steering stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their signoffs on Champion models
      • Understanding of forecasts, processes and approaches used in CCAR, Liquidity Risk Management, and Interest Rate Risk Management
      • Manage the Segmentation, Risk Identification, overlay discussions with stakeholder teams
      • Responsible for reviewing and timely submission of Model development documentation (MDDTs) to Model Risk Management
      • Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them
      • Create a culture of accountability and strict quality control of the data integrity and modeling process
      • Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation; a critical activity in reducing the model operating risk
      • Ability to build key relationships with stakeholder teams
      • Must be able to present technical matters in a way that is meaningful to the audience
      • Ability to influence people and empower team members to be proactive and focused on partnerships and resultsSuccessful Candidates Will Possess:
        • Strong interpersonal and communication skills, oral and written, with the ability to communicate with cross-functional teams and senior leaders.
        • Ability to handle multiple initiatives simultaneously with continual attention to detail
        • High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress
        • Knowledge of fixed income financial instruments and products including an awareness of bank regulation, accounting, valuation techniques and risk measurement
        • Analytical background with problem solving skills and an ability to assimilate information across financial disciplines
        • Expert in the use of Microsoft Office applications (Excel, PowerPoint, and Word)Basic Qualifications:
          • At least 4 years of experience in financial services company
          • Bachelor's degree in a quantitative-focused discipline
          • At least 2 years of experience using VBA, Python, R, OR SQL programming languagesPreferred Qualifications:
            • At least 6 years of experience within treasury for a financial company
            • Advanced degree in a quantitative focused discipline
            • At least 3 years of experience using VBA, Python, R, OR SQL programming languages
            • At least 3 years of experience supporting projects that build or test financial models. - Job Family Group: Finance - Job Family:Fin Solutions Dsgn & Implement Time Type: Primary Location: Getzville New York United States Primary Location Salary Range: $97,470.00 - $146,210.00 Citi is an equal opportunity and affirmative action employer.Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .View the " EEO is the Law " poster. View the EEO is the Law Supplement .View the EEO Policy Statement .View the Pay Transparency Posting

Keywords: Citi, Buffalo , Recovery & Resolution Planning (RRP) Model Development and Governance -VP, Accounting, Auditing , Getzville, New York

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