Senior Quantitative Treasury & ALM Risk
Tasks
- Analyze portfolio correlations
- Analyze pricing strategy
- Analyze revenue optimization strategy
- Automate hedging strategies
- Calculate VaR
- Conduct delta attribution analysis
- Design multi entity multi currency hedging strategies
- Develop quantitative risk models
- Document quantitative findings
- Innovate risk processes
- Map interest rate risk using DV01
- Perform IFRS valuation
- Present quantitative findings
- Refactor and optimize code
- Run liquidity risk simulations
- Simulate balance sheet evolution
Perks/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
Education
N/A
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