Treasury IRR, Director


Job Description

Citibank, N.A. seeks a Treasury IRR, Director for its Long Island City, New York location.

Duties: Analyze market risk and ensure correct calculation of interest rate risk in the banking book, including Accrual Risk methodologies, calculations, and metrics. Oversee Interest Rate Risk (IRR) metrics in Citi’s Banking Book analysis including computation, monitoring and management of IRR metrics including Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), CTC (Cost to Close), VAR (Value At Risk). Use VBA, MS Excel, Access and Citi’s centralized platform, RUBY, to analyze market risk covering interest rate, FX risk from vanilla and option embedded products. Apply understanding of interest rate risk characteristics for products on Citi’s balance sheet and ensure that risk is correctly captured considering interest rate exposure, economic value sensitivity measures, and hedging of balance sheet risk including transfer pricing. Work with RUBY Ops & Technology teams to ensure that risk metrics are properly calculated. Use Oracle and SQL to identify and propose solutions to resolve issues. Participate in model development and implementation in RUBY platform. In a matrix structure, work with Scenario Manager Team to ensure that Scenarios are defined correctly and scenario data is generated properly; work with teams from Treasury and Risk organizations regarding Interest Rate Risk. Analyze metrics produced by RUBY. Develop new risk scenarios and ensure proper implementation. Monthly production monitoring and reporting of accrual risk and stress metrics. Gather Market Risk information and requirements for use in Accrual Risk analysis. Define new analytical requirements for RUBY developers, for translation into system requirements. Collaborate with Risk Architecture group to develop improved risk analytics framework. Provide analysis to management on interest rate risk drivers. Analyze impacts of option risk and basis risk on the bank’s interest rate risk exposure. Review interest rate risk methodology and assumptions and recommend changes to the calculation. Review and test changes of interest rate risk calculations and infrastructure. Identify data issues, and work data teams to develop and implement solutions and technical enhancements for compliance with regulatory risk-based capital requirements.

Requirements: Requires a Bachelor’s degree in Economics, Finance or related field and 10 years of progressive, post-baccalaureate experience as a Market Risk Manager, Product Control Specialist, Accountant, Specialist or related position involving interest rate risk in the financial services industry.  10 years of experience must include: Financial modeling; Accounting and financial reporting; Treasury Business and Balance Sheet Management; VBA, MS Excel, Access; Working in a matrix management structure. At least 7 years of experience must include: Computation, monitoring and management of IRR metrics including Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), CTC (Cost to Close), VAR (Value At Risk); Oracle databases and SQL; Market Risk management; Market Risks including Interest Rate Risks in Emerging Markets countries. Up to 5% international travel required. Qualified applicants submit resumes referencing job code EL/TIM/AI to Citigroup Recruiting Department., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program. Direct applicants only. 


Grade :


Time Type :Full time


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