Assistant Vice President, Balance Sheet Analytics Developer – Treasury ALM

2 weeks ago

Mumbai, Maharashtra, India Citi Full time US$ 1,50,000 - US$ 2,00,000 per year

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.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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