Interpret interest rate risk metrics based on quantitative techniques to explain key drivers, variances and potential impacts to the firm’s financial position in the banking book
Job Summary
Interpret interest rate risk metrics based on quantitative techniques to explain key drivers, variances and potential impacts to the firm’s financial position in the banking book.
Review and challenge behavioral models and assumptions of non-contractual products used to measure interest rate risk in the banking book.
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
Matching Summary
Interpret interest rate risk metrics based on quantitative techniques to explain key drivers, variances and potential impacts to the firm’s financial position in the banking book.
Salary
Base: $198,800; Bonus/Equity: discretionary and formulaic incentive & retention awards; Benefits: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
Skills & Requirements
Must-have
interest rate risk metrics
behavioral models and assumptions
deposit pricing assumptions
methodological framework analysis
non-trading market risk policy
independent risk point of view
Nice-to-have
quantitative techniques interpretation
global standards development
regulatory changes analysis
senior governance committees presentation
Key Requirements
Bachelor’s degree in Business Administration, Finance, or related field
10 years of progressively responsible experience
10 years experience in financial statements
10 years experience in behavioral models
10 years experience in deposit pricing sensitivity
10 years experience in optionality features
10 years experience in yield curve methodologies
10 years experience in non-trading market risk policy
10 years experience in non-trading market risk oversight