Citigroup, Inc.
Getzville, NY, USA
Responsibilities: Determine requirements and develop analytical for Interest Rate Risk in Banking Book (IRRBB) and reporting designs based on the analysis of business needs, objectives, and existing infrastructure. Support design and development of solutions for portfolio analytics and business intelligence for products traded by Treasury (Investment Securities AFS/HTM, Derivatives and Capital Hedging portfolios, AFS/HTM, derivatives (fair value hedges, cash flow hedges and Capital Hedging portfolio), Long Term debt and Transfer pricing portfolios. Create prototypes for analytics related to derivatives portfolios comprised of interest rate swaps and cross currency swaps using inputs from data reporting systems and pricing tools including derivatives pricing engine (DP model). Project management activities for centralized and enhanced financial/risk/management reporting. Build relationships with stakeholders. Analyze portfolio management models used by desk using various...