Senior Quantitative Treasury & ALM Risk

Ebury
Spain
Workplace: HybridFull timeFunction: Capital Markets, Trading & QuantExperience: 5+ yearsSkills: ["Analytical thinking","Problem-solving","Communication","Documentation","Collaboration"]

Develop and implement quantitative treasury/ALM risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis. Support multi-entity, multi-currency hedging strategy simulation and balance sheet evolution. Map interest rate risk using DV01 analysis, automate hedging strategies, and contribute to IFRS valuation and delta attribution work. Refactor and optimize Python/SQL code, analyze pricing and revenue optimization strategies, and document results for the team.

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FursaFursa
Ebury
Ebury
12 hours ago

Senior Quantitative Treasury & ALM Risk

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Source: Company careers pageValidated by: Fursa AI
Last checked: 6 hours agoStatus: Live
Reposted: similar role first listed 1 month ago

Job Summary

Develop and implement quantitative treasury/ALM risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis. Support multi-entity, multi-currency hedging strategy simulation and balance sheet evolution. Map interest rate risk using DV01 analysis, automate hedging strategies, and contribute to IFRS valuation and delta attribution work. Refactor and optimize Python/SQL code, analyze pricing and revenue optimization strategies, and document results for the team.
Location: Spain
Workplace: Hybrid
Employment Type: Full time
Job Function: Capital Markets, Trading & Quant
Seniority: Mid level

Key Responsibilities

  • •Develop and implement quantitative risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis.
  • •Simulate balance sheet evolution and support multi-entity, multi-currency hedging strategies.
  • •Map interest rate risk using DV01 analysis and automate hedging strategies.
  • •Contribute to IFRS valuation and delta attribution projects linking market impacts to revenue drivers.
  • •Refactor and optimize code using Python and SQL, and document and present quantitative findings.

Pay and Benefits

Perks:Annual BonusHealth Insurance

Key Requirements

  • •5+ years of experience in quantitative analysis or programming.
  • •Proficiency in Python (NumPy, Pandas) and SQL.
  • •Strong passion for quantitative financial mathematics and quantitative analysis.
  • •Analytical and problem-solving skills with creative, innovative thinking to challenge existing methodologies.
  • •Confident communication in English, plus strong documentation and presentation skills.
Experience:5+ years
Skills:Analytical thinkingProblem-solvingCommunicationDocumentationCollaboration
Languages:English
Tech Stack:PythonNumPyPandasSQLVaR99DV01IFRS

Company Brief

Ebury
Provides international payments, FX, and treasury solutions for SMEs and mid-market companies, enabling cross-border transactions, multi-currency accounts, and financing services to support global trade and cash flow management.
Industry: Payments
Company Size: Enterprise (1,001+ employees)
Growth: Established Company
Funding: Private Equity Backed
Headquarters: London, United Kingdom
Founded: 2009
WebsiteLinkedIn