Non-Trading Market Risk Mgmt Sr. Analyst - C12 - MUMBAI

The BSM NTMR Senior Analyst will support the production needs in various workstreams to develop, enhance, measure, and monitor 1st line Non-Trading Market Risk framework including Governance and Oversight, Metrics, Methodology, Measurement, Data and Infrastructure, Process and Controls, and Management for Commodity/Equity/CSRBB (credit spread in the banking book) Framework, FXRBB (FX risk in the banking book), stress testing analytics relating to CCAR and QMMF for Citi’s global Pensions, and AFS/HTM securities, and asset allocation design.   

This role will report to a senior manager and function as an integral member of the functional leadership team. The BSM NTMR Senior Analyst exhibits intermediate understanding of bank balance sheet management and optimization, balancing financial resources among different competing priorities and how other Non-Traded Market Risk such as FXRBB, Commodity/Equity/CSRBB risk and OCI capital at risk and allocation of cash into debt investment securities contribute to achieving Corporate Treasury’s balance sheet optimization objectives and Citi’s strategic goals. Strong communication skills required in order to negotiate internally, often at a senior level. The role is responsible for aiding senior leaders in executing functional strategy in the designed area in partnership with other finance functions, businesses and risk management.

Responsibilities:

• Support analysis and modeling projects in the implementation of BSM’s process by providing key analytical insights across BSM functions with a primary focus on asset allocation, FXRBB, OCI stress testing analytics for (CCAR) and QMMF for pensions and AFS /HTM securities, Commodity/Equity/CSRBB risk. Provide accurate analysis to be used for enhancing BSM’s analytics and methodologies and establishing Citi's first-line NTMR management framework (Policy/Standard/Procedures, models, methodologies, reporting, controls, processes, analytics, data and documentation). Analyses will be supplied to managers
• Own the models associated with NTMR and liase with MRM to ensure proper development and validation of all models in the NTMR workstream
• Support subject matter experts on the team to aid senior leaders in aligning governance and management framework, procedures and controls for all legal entities that have OCI Risk, FX risk, commodity risk, credit spread risk in the Banking Book. Liaise with businesses, legal entity treasury, CTI and Markets Treasury, and Controllers teams to ensure both an understanding and the ability to manage other non-trading market risks.
• Support the team and assist Manager with remediation gap efforts in other non-trading market risk (excl IRRBB) as required by Tier 1 regulations and help to remediate regulatory/audit self-identified issues concerning other non-trading market risks in the banking book and achieve target state framework.
• Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and work-flow for the area or function. Integrates subject matter and industry expertise within a defined area.

Qualifications:

• 5+ years experience in Financial Services, Treasury, and bank global liquidity investment portfolio
• Strong Excel, Python and SQL programming skills.
• Basic knowledge in debt investment securities and non-trading market risk such as FXRBB, commodity risk, private equity risk and CSRBB, QMMF and CCAR for Pensions, ATM/AFS portfolios, etc.
• Fundamental understanding of regulatory, compliance, risk management and financial management, and data governance concerns
• Intermediate understanding of Bank ALM, Capital, and Liquidity considerations
• Basic experience in debt investment securities analytics, measurement, metrics and methodologies
• Demonstrated ability to collaboratively solution complex and dynamic processes
• Ability to work under pressure in ambiguous environments
• Strong oral and written communications skills with ability to synthesize complex concepts
• Strong technical problem-solving skills
• Demonstrates a sense of urgency, passion for results and personal accountability for achievement

Education:

Bachelor’s degree in Finance and Business or related fields

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