Treasury Interest Rate Risk (IRR) Citi/CBNA Analyst - VP

London, United Kingdom
28 Jul 2022
11 Aug 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
The individual will work in Interest Rate Risk (IRR) team within Citi's Corporate Treasury. The IRR team is responsible for measuring, reporting and managing Interest Rate Risk in the Banking Book across the firm. IRR partners with businesses and functions across the firm to establish and implement comprehensive Interest Rate Risk metrics to enable the measurement and management of the IRR across Citi. Interest Rate Risk in the Banking Book exists in balance sheets across Citi and the IRR team covers the global Citi balance sheet.

The IRR Citi and CBNA Analysis Team provides key analysis and insight into IRR for aggregate Citi and CBNA. The team is responsible for providing Citi and CBNA Treasurers with the information they need to understand and manage IRR for their businesses. The team is responsible for providing analysis of the structure of IRR covering GAP Risk, Curve Risk, Basis Risk and Optionality Risk. The team will provide analysis on the evolution of IRR, how the key assumptions and constraints impact the exposure and management of IRR. The IRR Analysis Team will also play a key role in defining and reshaping how Citi manages IRR. IRR management is being enhanced as part of a significant investment to build out Citi's IRR capabilities. The analysis team will help to define and implement the improvements being made to the way that IRR is measured and managed across Citi.

Key Objectives:
In this role, the individual will be responsible for:
  • Provide key analysis and insight into IRR for aggregate Citigroup and CBNA
  • Support Citigroup and CBNA Treasurers in managing their interest rate exposure
  • Helping to enhance the IRR capabilities across Citi improving metrics, measurement and management of IRR
  • Ensure timely completion of all deliverables related to Option Risk, Basis Risk and Concentration Risk
  • Work closely with Governance team to ensure timely resolution of all MRAs, MRIAs, IA issues and internal Corrective Action Plans (CAPs)
  • A bachelor degree in finance, legal, accounting, or related fields; advanced degree is a plus
  • Prior experience in financial services/banking, preferably Treasury or Market Risk
  • Strong technology and quantitative skills, with attention to detail
  • Willingness to take ownership and execute on deliverables
  • Ability to interact and communicate effectively with senior leaders
Specialized Skills:
  • Experience in Treasury and Interest Rate Risk Management at a global financial services institution.
  • Understanding of Banking Products and balance sheet structure and risks
Development Opportunities:
  • Unique opportunity to help shape Citi's Interest Rate Risk Management
  • Work with senior business and functional heads
  • Develop a professional network with senior internal and external stakeholders and build working relationships with several business leaders across the firm
Job Family Group:
Finance -------------------------------------------------
Job Family:
Balance Sheet Management ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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