Senior Quantitative Treasury & ALM Risk
Tasks
- Analyze pricing strategies
- Analyze revenue optimization strategies
- Automate hedging strategies
- Build multi entity multi currency hedging strategies
- Calculate VaR99
- Develop quantitative risk models
- Document quantitative findings
- Improve and innovate processes
- Map interest rate risk with DV01 analysis
- Perform delta attribution
- Perform portfolio correlation analysis
- Present quantitative findings
- Refactor and optimize Python code
- Refactor and optimize SQL code
- Run liquidity risk simulations
- Simulate balance sheet evolution
- Support IFRS valuation
Perks/Benefits
Skills/Tech-stack
At risk | Correlation Analysis | DV01 | Delta Attribution | Hedging | IFRS | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Python | SQL | Value-at-Risk
Education
N/A
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