Balance Sheet Mgmt Modeling(Mumbai) Job in Mumbai at Citi Bank

Citi Bank is hiring for the role of Balance Sheet Mgmt Modeling!

Responsibilities of the Candidates:

• End-to-end development support, and governance of models in treasury/IRRBB space.
• End-to-end model development includes econometric forecasting models for key Balance sheets and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non-Interest Revenue (“NIR”), Interest Rate Exposure (“IRE”), Economic Value Sensitivity (“EVS”), Funds Transfer Pricing (“FTP”), and other associated interest rate risk metrics.
• Applies analytical thinking and knowledge of statistics/modeling/data analysis tools and methodologies. Gives attention to detail when making judgments and analytical recommendations based on the analysis of information. Typically deals with variable issues with potentially broader business impact. Applies professional judgment when interpreting data and results.
• Model governance and support includes reviewing and timely submission of model documentation such as - Model development documents (MDDs), Annual Model Review (AMRs), Ongoing Performance Assessments (OPAs), Model Change Addendum (MCAs), Limitation Record Change (LRCs) to Model Risk Management and other stakeholders.
• Must be able to present technical matters in a way that is meaningful to the audience

Requirements:

• 2-4 years of relevant statistical modeling /econometrics experience in the financial domain.
• PG / Masters / PhD in a quantitative discipline such as Statistics, Economics, Mathematics, or a related discipline is preferred. Certifications such as FRM, and CFA are a plus.
• Experience in the development of models and metrics related to the Assets/Liability Management (ALM)/Interest Rate Risk in Banking Book (IRRBB). Deep understanding of IRE, EVE/EVS, and FTP concepts. Experience in behavioral modeling of non-defined maturity products is a plus.
• Hands-on experience in developing econometric models and a deep understanding of statistical techniques such as Linear Regression, Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated regression, and Cointegration.
• Working experience with Artificial Intelligence/Machine Learning techniques and packages (ChatGPT, Copilot) etc.
• Hands-on experience in programming and modeling using Python and related packages (GitHub, DataFlame) is a must. Working knowledge of statistical packages like SAS/R is a plus.
• Experience with SQL and databases. Experience in Excel VBA is a plus.
• Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning, etc. Broad understanding of financial products, accounting principles, investment, accrual products, and corporate finance concepts preferred.
• Demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist in decision-making.