Senior Quantitative Treasury & ALM Risk Analyst

Tasks

• Analyze portfolio correlation
• Analyze pricing strategies
• Automate hedging strategies
• Calculate VaR99
• Conduct IFRS valuation
• Develop multi entity multi currency hedging strategies
• Develop quantitative risk models
• Document quantitative findings
• Map interest rate risk with DV01 analysis
• Optimize revenue strategies
• Perform delta attribution
• Perform liquidity risk simulations
• Present quantitative findings
• Refactor and optimize Python code
• Simulate balance sheet evolution
• Write SQL analytics queries

Perks/Benefits

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

Skills/Tech-stack

DV01 | Delta Attribution | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Python | SQL | VAR