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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