Katie P.
Senior Vice President, Citi
- Role
- Senior Vice President, Bsm Asset Allocation at Citi
- Location
- Brooklyn, NY, US
- LinkedIn followers
- 500 followers
About Katie P.
Techincal Risk Consultant, Openlink Financial LLC, 01••••••••17Financial Analyst in Equity Market, Meyers Associate LP. investment bank, 06••••••••09Research Assistant in quantitative finance, New York University of Polytechnic Institue, 01••••••••09Accouting Assistant, ICMediaDirect.com, 08••••••••08Specialties: Financial Analysis, Risk Management, Fixed Income analysis, Trading stategy in equity market
Experience
Senior Vice President, Bsm Asset Allocation
Jun 2021 — Present · US
Balance sheet management ALM modeling, Asset Allocation.FAS 115 OCI calculation and benchmarking, CCAR AFSHTM reporting, FRB base and stress reporting on AFS, including US Treasury, Sovereign and Agency MBS 9Q OCI report.Bond risk premium modeling, calculation and backtest.Duration Hedging for treasury investments, deposits hedging.Interest Rate Risk in Banking Book, manage interest rate risk in Asset Liability Management in the balance sheet. Debt issuance, FHLB advances credit spread calculation, stock dividends calculation on economic values. IRRBB, FXRBB and CSRBB modeling.Interest rate Exposures (IRE) and Economic Value sensitivity(EVS) risk metrics analysis for the Citigroup balance sheet on banking book.Risk metrics backtesting and benchmarking.BOLI portfolio analysis, DV01 analysis and portfolio rebalancing. Special value protection(SVP) analysis, PnL analysis. Option pricing, intrinsic value calculation.Modeling and model governance for OCI and IRRBB models. Model performance reporting and risk monitoring.Risk limit analysis and fund transfer pricing.
Education
New York University
Master of Science (MS), Finance
2007 — 2009
China Agricultural University
Bachelor of Electrical Engineering, Electronics and Information Science
2003 — 2007
Skills
- Risk Management
- Risk Analytics
- Market Risk Analysis
- C++
- Business Analysis
- Derivatives
- Financial Analysis
- Java
- Financial Modeling
- Quantitative Analytics
- Equity Trading
- Visual Basic for Applications (Vba)
- Quantitative Finance
- Vba
- Pricing Model Configuration
- .net
- Financial Risk Management
- Investments
- Finance
- Mbs
- Trading
- Investment Banking
- Var Calculation
- Credit Risk Analysis
- Credit Risk Management
- Microsoft Sql Server
- Fix Income Security
- Equities
- Credit Risk
Find verified contacts for anyone on LinkedIn
Unifers gives sales teams verified emails and direct dials, enriched profiles, and outreach that lands in the inbox.
Free plan included · No credit card required
This profile is compiled from publicly available professional sources. Unifers is not affiliated with or endorsed by LinkedIn. Request removal of this profile.