AVP- Treasury and Liquidity Model Validation

As a candidate for the position, you should have 4+ years of experience in Model Development or Validation, specifically in areas such as IRRBB, NII, NIR, IRE, IRR, EVE, EVS, and Balance sheet models. Additionally, you should possess strong Excel, Python, and SQL programming skills. A basic knowledge of debt investment securities and non-trading market risk, including FXRBB, commodity risk, private equity risk, CSRBB, QMMF, and CCAR for Pensions and ATM/AFS portfolios, is required. It is essential to have a fundamental understanding of regulatory, compliance, risk management, financial management, and data governance concerns. Key Responsibilities: - Support 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. - Deliver accurate analysis to enhance BSM methodologies and support Citis first-line NTMR framework, including policy, procedures, models, reporting, controls, data, and documentation. - Own NTMR models and collaborate with MRM to ensure proper development and validation. - Assist senior leaders in aligning governance for legal entities with OCI, FX, commodity, and credit spread risk. - Coordinate with business, Treasury, CTI, Markets Treasury, and Controllers to ensure effective NTMR management. - Support remediation of non-trading market risk gaps (excluding IRRBB) per Tier 1 regulations and assist in resolving regulatory/audit issues to achieve the target state framework. If you are interested in applying for this position, please share your resume with "swarali.deshmukh@credencehrservices".,