Shah held a variety of U.S. Department of Treasury positions from 1995 until 2001. She was the director of the office overseeing strategy and programs for sub-Saharan Africa, which included debt relief, development programs and World Bank/International Monetary Fund strategies. She worked with the Ministries of Finance in Bosnia and Kosovo to design the post-war banking system. During the Asian financial crisis, she served as a senior adviser to U.S. Treasury officials who were coordinating the U.S. response.