Treasury Risk Senior Officer I

Job description

Citibank, N.A. seeks a Treasury Risk Senior Officer I for its Tampa, Florida location. Duties: Interpret interest rate risk metrics based on quantitative techniques to explain key drivers, variances and potential impacts to the firm’s financial position in the banking book. Review and challenge behavioral models and assumptions of non-contractual products used to measure interest rate risk in the banking book. Review and challenge deposits pricing assumptions used to forecast customer rates due to changes in market rates and promote consistency across the firm. Analyze methodological framework to identify and evaluate curve risk, basis risk and non-linear/optionality risk, developing global standards and guidance to assess their materiality across the firm. Participate in designing and writing non-trading market risk policy and procedures, including updates to the scope, governance, risk definitions, requirements, processes and standards in relation with interest rate risk in the banking book at an appropriate level of detail. Participate in the identification process of interest rate risk, including analysis of new products/activities and/or regulatory changes and their potential...