Senior Quantitative Treasury & ALM Risk

Tasks

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

Perks/Benefits

• Career progression
• Health care
• Hybrid work
• Mentorship
• Social benefits
• Supportive culture

Skills/Tech-stack

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