Senior Quantitative Treasury & ALM Risk

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

Build and implement quantitative treasury and ALM risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis. Help simulate balance sheet evolution and develop multi-entity, multi-currency hedging strategies, supported by DV01 mapping and automated hedging. Contribute to IFRS valuation and delta attribution work, refactor and optimize code in Python and SQL, and document findings for the team.

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FursaFursa
Ebury
Ebury
12 hours ago

Senior Quantitative Treasury & ALM Risk

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Last checked: 6 hours agoStatus: Live
Reposted: similar role first listed 1 month ago

Job Summary

Build and implement quantitative treasury and ALM risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis. Help simulate balance sheet evolution and develop multi-entity, multi-currency hedging strategies, supported by DV01 mapping and automated hedging. Contribute to IFRS valuation and delta attribution work, refactor and optimize code in Python and SQL, and document findings for the team.
Location: Malaga
Workplace: Hybrid
Employment Type: Full time
Job Function: Capital Markets, Trading & Quant
Seniority: Mid level

Key Responsibilities

  • •Develop and implement quantitative risk models (liquidity risk simulations, VaR99, portfolio correlation).
  • •Simulate balance sheet evolution and create multi-entity, multi-currency hedging strategies.
  • •Map interest rate risk using DV01 analysis and support automation of hedging strategies.
  • •Support IFRS valuation and delta attribution, linking market impacts to revenue drivers.
  • •Refactor and optimize code in Python/SQL and analyze pricing and revenue optimization strategies; document and present findings.

Pay and Benefits

Perks:Health Insurance

Key Requirements

  • •5+ years of experience in quantitative analysis or programming.
  • •Proficiency in Python (NumPy, Pandas) and SQL.
  • •Experience in quantitative finance or data analysis is a plus.
  • •Strong quantitative financial mathematics, analytical, and problem-solving skills.
  • •Excellent English communication, documentation, and presentation skills.
Experience:5+ yearsFintechQuantitative finance
Skills:Analytical thinkingProblem-solvingCommunicationDocumentationPresentation
Languages:English
Tech Stack:PythonNumPyPandasSQL

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