Senior Quantitative Treasury & ALM Risk Analyst

Tasks

• Analyze pricing strategy
• Analyze revenue optimization strategy
• Automate hedging strategies
• Build multi entity multi currency hedging strategies
• Calculate VaR
• Conduct DV01 interest rate risk analysis
• Develop quantitative risk models
• Document quantitative findings
• Perform delta attribution
• Perform portfolio correlation analysis
• Present quantitative findings
• Refactor and optimize Python code
• Refactor and optimize SQL queries
• Run liquidity risk simulations
• Simulate balance sheet evolution
• Support IFRS valuation

Perks/Benefits

• Career progression
• Health care
• Hybrid work
• Mentorship
• Social benefits

Skills/Tech-stack

DV01 | Data Analysis | Delta Attribution | Hedging Strategies | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Portfolio Correlation | Python | Quantitative Finance | Risk Modeling | SQL | Value-at-Risk