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

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Job Family:

Balance Sheet Management

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Time Type:

Full time

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Most Relevant Skills

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

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Other Relevant Skills

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

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