Senior Quantitative Treasury & ALM Risk

Tasks

• Analyze portfolio correlation
• Automate hedging strategies
• Build multi entity multi currency hedging strategies
• Calculate Value-at-Risk
• Conduct delta attribution analysis
• Develop quantitative risk models
• Document quantitative findings
• Map interest rate risk using DV01
• Optimize SQL queries
• Perform IFRS valuation
• Present quantitative findings
• Refactor code using Python
• Run liquidity risk simulations
• Simulate balance sheet evolution

Perks/Benefits

• Health care
• Hybrid work
• Mentorship
• Social benefits

Skills/Tech-stack

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