Assistant Vice President, Balance Sheet Analytics Developer – Treasury ALM
- Company: Citigroup
- Location: Mumbai Maharashtra India
- Work mode: On-site
- Job type: Full-Time
- Posted: 2026-10-05
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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