Assistant Vice President, Balance Sheet Analytics Developer – Treasury ALM

Balance Sheet Analytics Developer – Treasury ALM (AVP / C12)

• Job Description:
• The Balance Sheet Analytics & Management (BSAM) team is seeking a technically skilled Python developer with a solid understanding of Treasury, IRRBB, and ALM concepts. In this role, you’ll design and optimize analytics tools that power Citi’s NIR/NIM forecasting, balance sheet planning, and rate risk assessments. This is a hands-on coding role focused on building scalable, high-performance libraries using Python (NumPy, Polars), Cython, and/or C++ for production use.

Key Responsibilities:

• •Develop and maintain Python-based analytics libraries for NIR/NIM modeling and IRRBB simulations
• •Optimize data pipelines using vectorized operations, memory-efficient structures, and just-in-time compilation (e.g. Cython)
• •Collaborate with Treasury, Risk, and Finance teams to integrate your tools with business workflows
• •Contribute to forecasting and scenario analysis with automated tools for volume, rate, and mix attribution
• •Work with data from Pearl, Ruby, and Genesis systems to build robust, reusable modules
• •Support monthly reporting cycles, ALCO packages, and results validation for NIR/NIM metrics
• •Follow SDLC best practices and use GitHub for code versioning and release management

Qualifications:

• •5+ years of experience in Treasury, ALM, IRRBB, or related financial analytics
• •Strong Python skills, with experience in NumPy, Polars, and performance libraries (e.g. Cython or C++)
• •Familiarity with Treasury systems (e.g. Pearl, Ruby, Genesis) and their data structures
• •Proficiency in SQL for large-scale data extraction and transformation
• •Comfortable working independently and contributing to cross-functional teams
• •Strong written and verbal communication skills to present technical work to non-technical partners
• •Experience with Tableau is a plus (for lightweight reporting)

Education:

Bachelor’s degree in Computer Science, Financial Engineering, Economics, or a related technical/quant field

Development Opportunities:

• •Learn Treasury ALM from the ground up and work on high-impact regulatory and business-driven initiatives
• •Gain exposure to balance sheet strategy, interest rate risk metrics, FTP, and liquidity planning
• •Sharpen performance engineering and SDLC skills in a collaborative, high-ownership environment
• •Opportunity to contribute code used across Treasury and Finance groups globally

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Job Family Group:

Finance ------------------------------------------------------

Job Family:

Balance Sheet Management ------------------------------------------------------

Time Type:

Full time ------------------------------------------------------

Most Relevant Skills

Business Acumen, Data Analysis, Internal Controls, Management Reporting, Problem Solving, Process Execution, Risk Identification and Assessment, Transfer Pricing. ------------------------------------------------------

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter. ------------------------------------------------------

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