Senior Quantitative Treasury & ALM Risk Analyst
Tasks
- Analyze portfolio correlation
- Analyze pricing and revenue optimization
- Automate hedging strategies
- Conduct IFRS valuation
- Conduct liquidity risk simulations
- Design multi currency hedging strategies
- Develop quantitative risk models
- Document quantitative findings
- Perform DV01 analysis
- Perform VaR calculations
- Perform delta attribution
- Present quantitative findings
- Query and optimize SQL data
- Refactor and optimize Python code
- Refactor and optimize analytics processes
- Simulate balance sheet evolution
Perks/Benefits
Skills/Tech-stack
DV01 | Delta Attribution | IFRS | NumPy | Pandas | Python | SQL | VAR
Education
N/A
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