Senior Quantitative Treasury & ALM Risk Analyst
Tasks
- Analyze portfolio correlations
- Automate hedging strategies
- Build pricing and revenue optimization analysis
- Calculate Value-at-Risk
- Conduct DV01 interest rate risk analysis
- Design multi entity multi currency hedging strategies
- Develop quantitative risk models
- Document quantitative findings
- Execute delta attribution analysis
- Perform IFRS valuation
- Perform liquidity risk simulations
- Present quantitative findings
- Refactor and optimize code
- Simulate balance sheet evolution
Perks/Benefits
Skills/Tech-stack
DV01 | Delta Attribution | Hedging Strategy | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Python | Quantitative Finance | SQL | Value-at-Risk
Education
N/A
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