Senior Quantitative Treasury & ALM Risk
Tasks
- Analyze pricing strategies
- Automate hedging strategy execution
- Build multi entity multi currency hedging strategies
- Calculate Value-at-Risk
- Conduct delta attribution analysis
- Conduct liquidity risk simulations
- Develop quantitative risk models
- Document quantitative findings
- Map interest rate risk using DV01 analysis
- Optimize revenue drivers
- Perform IFRS valuation
- Perform portfolio correlation analysis
- Present quantitative findings
- Refactor and optimize Python code
- Refine risk modeling processes
- Simulate balance sheet evolution
- Write SQL queries
Perks/Benefits
Skills/Tech-stack
ALM | At risk | DV01 | Data analytics | Delta Attribution | Hedging | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Portfolio Correlation | Python | Quantitative Finance | SQL | Treasury | Value-at-Risk
Education
N/A
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