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Citigroup Treasury Balance Sheet Solutions & Optimization Group Manager - SVP in New York, New York

Treasury’s Balance Sheet Solutions and Optimization (“BSSO”) unit’s responsibilities cover four key areas:

  • Capital Management: proposes Capital Policy design to Capital Committee including analyzing target capital ratios, buffers, and capital distribution strategy and attribution of capital usage to businesses (‘TCE’ attribution);

  • Balance Sheet Costing Methodology: Leads cross functional working groups to design and evolve Funds Transfer Pricing methodology to centralize interest rate risk and assign funding costs / benefits across businesses;

  • Balance Sheet Costing Infrastructure : Leads the design and implementation the firm’s new Funds Transfer Pricing system;

  • Asset Allocation: Designs and manages Treasury’s securities portfolio allocation process informing Citigroup ALCO decisions on security portfolio strategy for Citi’s $400bn+ global liquidity portfolios. The team also performs the review and challenge of the Stress Testing results for Citi's Available for Sale (AFS)/Held To Maturity (HTM) portfolio as well as oversee the model governance process for the set of models related to the valuation and forecasting of AFS/HTM asset classes.

The successful candidate will lead the Stress Testing review and challenge process, including the ongoing improvements to the process architecture and execution.


  • Manage the AFS/HTM Stress Testing Team for periodic firm-wide stress testing including CCAR/DFAST

  • Performing a SME role within AFS/HTM Workstream during the firm-wide stress testing (CCAR/DFAST) exercise

  • Conducting the first line review and challenge of stress testing results, including:

  • OCI forecast of AFS/HTM fixed income instruments under FAS115 (ASC 320)

  • OCI forecast of fair value and cash flow hedging instruments under FAS 133 (ASC 815-20)

  • OCI forecast of translation of foreign capital and its cost of hedge under FAS 52 (ASC 830)

  • Forecast of current estimated credit losses (CECL) under ASC 326

  • Participating in the design of the process architecture and lead the on-going process streamlining and improvement initiatives across various business, reporting and technology teams

  • Participating in design of portfolio analytics, including the development of prototype financial models and tools to better understand and forecast the drivers of financial and risk metrics.

  • Performing necessary periodic governance and documentation procedures, including presentation to the Senior Governance Group and AFS/HTM CCAR Methodology Document

  • Provide cross-team support to the model governance and asset allocation team related to the ongoing model performance monitoring and stress related performance of various asset classes.

  • Assist in coordinating and liaising with businesses and functions to educate and garner support for project initiatives.

  • Contribute and support other cross-group projects and initiatives.


  • 7+ years of previous experience working in the finance industry.

  • Relevant experience in managing teams and/or processes.

  • Modeling or model validation experience in fixed income or derivative valuation models and/or mortgage prepayment models is preferred.

  • Knowledge of financial instruments and products including an awareness of bank regulation, accounting, valuation techniques and risk measurement.

  • Analytical background with problem solving skills and an ability to assimilate information across a variety of financial disciplines.

  • Strong interpersonal and communication skills, both oral and written, with the ability to converse with a wide variety of people across functions / seniority.

  • Experienced in the use of Microsoft Office applications (Excel, PowerPoint and Word).

  • Coding knowledge such as SAS, SQL, VBA and Python, as well as working experience with SharePoint, will also be an advantage.

  • High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress.


  • Bachelor’s degree in a quantitative-focused discipline or related field. Masters preferred.

Exceptional candidates who do not meet all of the criteria may be considered for the role

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Balance Sheet Management

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