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