Senior Quantitative Treasury & ALM Risk

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

Develop and implement quantitative treasury and ALM risk models, including liquidity risk simulations, VaR99, and portfolio correlation analysis. Support balance-sheet evolution and multi-entity, multi-currency hedging strategy development, including DV01 mapping and hedging automation. Contribute to IFRS valuation and delta attribution, refactor and optimize analytics code in Python/SQL, and analyze pricing and revenue optimization opportunities while communicating results clearly.

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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 and ALM risk models, including liquidity risk simulations, VaR99, and portfolio correlation analysis. Support balance-sheet evolution and multi-entity, multi-currency hedging strategy development, including DV01 mapping and hedging automation. Contribute to IFRS valuation and delta attribution, refactor and optimize analytics code in Python/SQL, and analyze pricing and revenue optimization opportunities while communicating results clearly.
Location: Madrid
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, and portfolio correlation analysis.
  • •Simulate balance sheet evolution and build multi-entity, multi-currency hedging strategies.
  • •Map interest rate risk using DV01 analysis and support automation of hedging strategies.
  • •Contribute to IFRS valuation and delta attribution projects linking market impacts to revenue drivers.
  • •Refactor and optimize code in Python and SQL and document/present quantitative findings.

Pay and Benefits

Perks:Annual BonusHealth InsuranceSocial Benefits

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 and quantitative analysis mindset.
  • •Excellent communication, documentation, and presentation skills in English.
Experience:5+ years
Skills:CommunicationDocumentationAnalytical thinkingProblem-solvingCollaboration
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