Citigroup Treasury Balance Sheet Solutions & Optimization Group Manager - SVP in New York, New York
Treasury’s Balance Sheet Solutions and Optimization (“BSSO”) unit’s responsibilities cover four key areas:
Capital Management: proposes Capital Policy design to Capital Committee including analyzing target capital ratios, buffers, and capital distribution strategy and attribution of capital usage to businesses (‘TCE’ attribution);
Balance Sheet Costing Methodology: Leads cross functional working groups to design and evolve Funds Transfer Pricing methodology to centralize interest rate risk and assign funding costs / benefits across businesses;
Balance Sheet Costing Infrastructure : Leads the design and implementation the firm’s new Funds Transfer Pricing system;
Asset Allocation: Designs and manages Treasury’s securities portfolio allocation process informing Citigroup ALCO decisions 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 Citi's Available for Sale (AFS)/Held To Maturity (HTM) portfolio as well as oversee the model governance process for the set of models related to the valuation and forecasting of AFS/HTM asset classes.
The successful candidate will lead the Stress Testing review and challenge process, including the ongoing improvements to the process architecture and execution.
Manage the AFS/HTM Stress Testing Team for periodic firm-wide stress testing including CCAR/DFAST
Performing a SME role within AFS/HTM Workstream during the firm-wide stress testing (CCAR/DFAST) exercise
Conducting the first line review and challenge of stress testing results, including:
OCI forecast of AFS/HTM fixed income instruments under FAS115 (ASC 320)
OCI forecast of fair value and cash flow hedging instruments under FAS 133 (ASC 815-20)
OCI forecast of translation of foreign capital and its cost of hedge under FAS 52 (ASC 830)
Forecast of current estimated credit losses (CECL) under ASC 326
Participating in the design of the process architecture and lead the on-going process streamlining and improvement initiatives across various business, reporting and technology teams
Participating in design of portfolio analytics, including the development of prototype financial models and tools to better understand and forecast the drivers of financial and risk metrics.
Performing necessary periodic governance and documentation procedures, including presentation to the Senior Governance Group and AFS/HTM CCAR Methodology Document
Provide cross-team support to the model governance and asset allocation team related to the ongoing model performance monitoring and stress related performance of various asset classes.
Assist in coordinating and liaising with businesses and functions to educate and garner support for project initiatives.
Contribute and support other cross-group projects and initiatives.
7+ years of previous experience working in the finance industry.
Relevant experience in managing teams and/or processes.
Modeling or model validation experience in fixed income or derivative valuation models and/or mortgage prepayment models is preferred.
Knowledge of 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 a variety of financial disciplines.
Strong interpersonal and communication skills, both oral and written, with the ability to converse with a wide variety of people across functions / seniority.
Experienced in the use of Microsoft Office applications (Excel, PowerPoint and Word).
Coding knowledge such as SAS, SQL, VBA and Python, as well as working experience with SharePoint, will also be an advantage.
High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress.
- Bachelor’s degree in a quantitative-focused discipline or related field. Masters preferred.
Exceptional candidates who do not meet all of the criteria may be considered for the role
Job Family Group:
Balance Sheet Management
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