Carlos Jiménez Email and Phone Number

The Global IRR and FTP Team establishes, oversees, and manages the methodologies and policies under which sources and uses are transfer priced based on interest rates, liquidity, and capital frameworks. ● Collaborating with the team for regional support on measuring and analyzing Interest Rate Risk, Interest Transfer Pricing and Fund Transfer Pricing metrics.● Acting as a subject matter expert on FTP and IRR metrics and support Risk Treasury Units, treasurers and businesses within the region in managing their interest rate risk exposure and FTP.● Ensuring regional stakeholders have consistent and well-established IRR frameworks and appropriately assess IRR through ad-hoc IR forecasts, analysis, and relevant IRR tools consistent with Treasury IRR guidelines and global best practices.● Contributing to the execution, governance, and framework developments within the Funds Transfer Pricing (FTP) including liquidity, capital, and interest rate transfer pricing.● Supporting the efforts to enhance and/or develop interest rate transfer pricing methodologies and processes in alignment with Interest Rate Risk management principles and frameworks.● Liaising with Businesses, Markets, and Corporate Treasury functions to ensure both an understanding and ability to manage hedgeable interest rate risk transferred via funds transfer pricing appropriately.● Developing a deep understanding of data and technology infrastructure for Citi’s funds transfer pricing and risk frameworks’ processes in actuals and forecast, in partnership with Treasury and broader Finance functions.● Coordinating implementation of “best-practice” approaches / solutions to IRR and FTP methodological problems

• Provide consultancy on the implementation of projects related to the valuation of financial instruments and risk management for leading financial institutions in Mexico, Chile, Colombia, Peru and US.• Specification and implementation of mathematical models for the efficient pricing of complex financial products, the evolution of future market and credit events, regulatory calculations and the calibration of risk models.• Analyze and model market data to ensure the best quality in FIS technology solutions (Ambit Focus, Ambit Optimist, Bancware Data Integration & Adaptiv) to calibrate and implement solid risk management and valuation models in FIS applications.• Work with stakeholders of securitized products analytics, including market risk managers, model risk management, finance, product controls, and technology teams on testing and delivery of analytics and models.• Support to the Presales and Sales team in proof of concepts, request of information, demos and acting as a subject matter expert on risk management and valuation.Key focuses:- Market Risk, VaR, ES, Sensitivities- Liquidity Risk, ALM, LCR, FTP- Counterparty Credit Risk, PFE, CVA & xVA's- Regulatory Functions: FRTB, IFRS 9, Basel III & IV.As a Quant Consultant my role is to support our customer to use the state-of-the-art risk engine to price and simulate risk for a range of financial instruments. As a specialist in financial mathematics I support our clients by providing advice about best practices .

Key focuses:- Market Risk, VaR, ES, Sensitivities- Liquidity Risk, ALM, LCR, FTP- Counterparty Credit Risk, PFE, CVA & xVA's- Regulatory Functions: FRTB, IFRS 9, Basel III & IV. As a Quant Consultant my role is to support our customer to use the state-of-the-art risk engine to price and simulate risk for a range of financial instruments. As a specialist in financial mathematics I support our clients by providing advice about best practices .

• Specialized in evaluating the efficiency and effectiveness of the main processes of Corporate and Investment Banking & Asset Management.• Processed and analyzed large datasets to detect hidden signals and patterns and replicating the financial models (valuation & risk measurement) using statistical software.• Executed technical reviews of moderately complex models, including validation effectiveness, model conceptual soundness, model development quality, and model risk management processes• The most relevant audits I have done are: Market Risk Internal Model, Counterparty Risk and CVA, Financial Instruments Valuation, Warrants, Liquidity & Repricing Gap’s, Risk Data Aggregation.

• Developed analytical methods and models that assess the market and credit risk framework of new and existing financial products.• Consulted with the business segments in researching the development of risk management models for new and existing products• Developed various analytic models including sensitivity analyses, stress testing, value-at-risk (VaR), scenario testing, and Monte Carlo simulations.• Assisted with the daily, monthly, and quarterly reporting of positions, valuations, and risk factors including VaR, EaR, Stress Testing, Scenario analysis, and ensuring compliance with all limits.