Assistant Vice President, Balance Sheet Analytics Developer – Treasury ALM

Job description

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 ------------------------------------------------------ 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. ------------------------------------------------------ Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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