AVP- Treasury and Liquidity Model Validation

You should have at least 4+ years of experience in Model Development or Validation related to areas such as IRRBB, NII, NIR, IRE, IRR, EVE, EVS, and Balance sheet models. Your skill set should include strong proficiency in Excel, Python, and SQL programming. Additionally, a basic understanding of debt investment securities and non-trading market risk like FXRBB, commodity risk, private equity risk, CSRBB, QMMF, and CCAR for Pensions, ATM/AFS portfolios, etc. will be beneficial. It is essential to have a foundational knowledge of regulatory, compliance, risk management, financial management, and data governance concerns. Your responsibilities will include supporting BSM analytics and modeling projects focusing on asset allocation, FXRBB, OCI stress testing (CCAR), QMMF for pensions, AFS/HTM securities, and Commodity/Equity/CSRBB risk. You will be expected to provide accurate analysis to improve BSM methodologies and assist in the development and maintenance of Citis first-line NTMR framework. This involves working closely with MRM to ensure proper development and validation of NTMR models, as well as collaborating with senior leaders to align governance for legal entities with various risk factors. Coordination with business, Treasury, CTI, Markets Treasury, and Controllers is crucial to ensure effective NTMR management. Additionally, you will support the remediation of non-trading market risk gaps as per Tier 1 regulations and assist in resolving regulatory/audit issues to achieve the target state framework. If you are interested in this position, please send your resume to "swarali.deshmukh@credencehrservices".,