Senior Quantitative Treasury & ALM Risk

Tasks

• Analyze portfolio correlation
• Automate hedging strategies
• Build pricing and revenue optimization analysis
• Calculate Value-at-Risk
• Design multi entity multi currency hedging strategies
• Develop quantitative risk models
• Document quantitative findings
• Perform DV01 analysis
• Perform delta attribution
• Present quantitative findings
• Refactor optimize code
• Refine quantitative processes
• 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

At risk | DV01 | Delta Attribution | Hedging | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Portfolio Correlation | Python | Quantitative Finance | SQL | Value-at-Risk