Senior Quantitative Treasury & ALM Risk
Tasks
- Analyze portfolio correlation
- Analyze pricing optimization strategies
- Analyze revenue optimization strategies
- Automate hedging strategy workflows
- Calculate Value-at-Risk
- Conduct delta attribution
- Design multi entity multi currency hedging strategies
- Develop quantitative risk models
- Document quantitative findings
- Map interest rate risk using DV01
- Perform IFRS valuation
- Present quantitative findings
- Refactor and optimize Python code
- Run liquidity risk simulations
- Simulate balance sheet evolution
- Write SQL queries for analytics
Perks/Benefits
Skills/Tech-stack
At risk | DV01 | Data Analysis | Delta Attribution | Financial Mathematics | Hedging | IFRS Valuation | Interest Rate | Interest Rate Risk | Liquidity Risk | NumPy | Pandas | Portfolio Correlation | Python | Quantitative Finance | Risk Modeling | SQL | Value-at-Risk
Education
N/A
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