Senior Quantitative Treasury & ALM Risk

Tasks

• Analyze portfolio correlations
• Analyze pricing strategies
• Analyze revenue optimization strategies
• Automate hedging strategy workflows
• Compute VaR99
• Conduct delta attribution analysis
• Design multi entity multi currency hedging strategies
• Develop quantitative risk models
• Document quantitative findings
• Perform DV01 interest rate risk mapping
• Present quantitative findings
• Refactor and optimize code using Python and SQL
• Run liquidity risk simulations
• Simulate balance sheet evolution
• Support IFRS valuation

Perks/Benefits

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

Skills/Tech-stack

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