Assistant Vice President, Balance Sheet Analytics Developer Treasury ALM

The Balance Sheet Analytics & Management (BSAM) team is looking for a skilled Python developer with expertise in Treasury, IRRBB, and ALM concepts. Your role involves designing and optimizing analytics tools to support Citis NIR/NIM forecasting, balance sheet planning, and rate risk assessments. You will be hands-on in coding, focusing on creating scalable, high-performance libraries using Python (NumPy, Polars), Cython, and/or C++ for production purposes. As a developer in this role, your responsibilities will include developing and maintaining Python-based analytics libraries for NIR/NIM modeling and IRRBB simulations. You will optimize data pipelines using vectorized operations, memory-efficient structures, and just-in-time compilation (e.g. Cython). Collaboration with Treasury, Risk, and Finance teams to integrate tools with business workflows is essential. Additionally, you will contribute to forecasting and scenario analysis with automated tools for volume, rate, and mix attribution, utilizing data from Pearl, Ruby, and Genesis systems to build robust modules. Supporting monthly reporting cycles, ALCO packages, and results validation for NIR/NIM metrics will be part of your responsibilities. It is crucial to follow SDLC best practices and use GitHub for code versioning and release management. Qualifications for this role include a minimum of 5 years of experience in Treasury, ALM, IRRBB, or related financial analytics. Strong Python skills, familiarity with NumPy, Polars, and performance libraries (e.g. Cython or C++), as well as proficiency in SQL for large-scale data extraction and transformation, are required. Comfort working independently and collaborating with cross-functional teams is necessary. Good written and verbal communication skills to present technical work to non-technical partners are essential. Experience with Tableau is a plus for lightweight reporting. A Bachelors degree in Computer Science, Financial Engineering, Economics, or a related technical/quant field is the preferred educational background for this position. This role offers development opportunities to learn Treasury ALM and work on impactful regulatory and business-driven initiatives. You will gain exposure to balance sheet strategy, interest rate risk metrics, FTP, and liquidity planning. Sharpening performance engineering and SDLC skills in a collaborative, high-ownership environment is encouraged. Additionally, there is an opportunity to contribute code used across Treasury and Finance groups globally.,