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Vice President, Interest Rate Risk in the Banking Book, Business Support and Analysis Team

Citi Hong Kong
Posted 1 month ago Permanent Competitive
Vice President, Interest Rate Risk in the Banking Book, Business Support and Analysis Team
Vice President, Interest Rate Risk in the Banking Book, Business Support and Analysis Team

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 Business Support and Analysis Team works with Treasurers to understand the IRR in the Business and ensure that IRR is managed appropriately across Citi. The Business Support and Analysis Team works with both Treasury businesses and customer businesses to understand the IRR including - Gap and Curve Risk, Basis Risk and Optionality Risk in the Banking Book. The Analysis team will prepare and analyze trends in IRR metrics for Hong Kong. The team will provide analysis on how the numbers are likely to change in the expected interest rate environment and extend support to CTI and Business Treasury to manage their exposure.

Key Objectives:

In this role, the individual will be responsible for:
  • Liaise with Regional Treasurer and businesses for measuring, analyzing and reporting firm-wide IRR metrics
  • Work closely with the Group IRR team to implement the Group's Interest Rate Risk Management Strategy, with particular focus on Hong Kong
  • Identify and analyze drivers for change in IRR and EVS metrics and drive risk appetite and limit setting process/ metrics for Hong Kong
  • Quantify sensitivity of metrics to expected rate movements and perform stress testing using variety of corporate level and Group wide/country specific scenarios, including
    • Key Assumption Sensitivity analysis
    • Backtesting of key assumptions and IRR profiles
  • Ensure that Option Risk, Basis Risk and Concentration Risk are adequately identified, monitored and reported
  • Provide analytical support and adequate governance to ensure that necessary risk appetite limits are approved for Hong Kong
  • Key content creation and curation support in preparation and presentation of ALCO level and senior management reporting and visible executive communication on IRR issues and topics
  • Work with businesses to ensure that appropriate data and infrastructure capabilities are maintained and any issues are communicated and coordinated with key partners
  • Work with the modelling team in performing required analytics for model performance reviews and other model governance requirements
• A bachelor degree in finance, economics, accounting, or related fields; Advanced degree preferred
• Experience in financial services/banking, preferably Treasury or Market Risk
• Strong technology, data analysis and quantitative skills, with attention to detail
• Willingness to take ownership and execute on deliverables.
• Team player with an ability to work well with others in a fast-paced, high-energy environment.

Specialized Skills:
• Understanding of Interest Rate Risk in the Banking Book and Banking balance sheet products

Development Opportunities:
• Unique opportunity to gain exposure to entirety of Citi's Interest Rate Risk Management strategy, process and regulatory reporting
• Become a subject matter expert in Interest Rate Risk in the Banking Book
• Develop a toolkit of quantitative and qualitative skillsets that would enable the individual to become an experienced Treasury professional.
• Visibility and exposure to senior management and thought leadership

Job Family Group:

Job Family:
Balance Sheet Management

Time Type:
Full time

Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi .

View the " EEO is the Law " poster. View the EEO is the Law Supplement .

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Job ID  22563609
Hong Kong
Accounting & Finance
Citibank Hong Kong has a network of 48 branches spread over Hong Kong Island, Kowloon, New Territories and Macau. Citibank’s parent company, Citigrou...
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