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About the Role
Quantitative Treasury & ALM Risk Analyst
Location: Ebury Leon Office – Hybrid: 4 days in the office, 1 day working from home per week.
What you’ll do
- Assist in the development and implementation of advanced quantitative risk models, including liquidity risk simulations, VaR99 calculations, and portfolio correlation analysis.
- Contribute to the simulation of balance sheet evolution and the development of multi-entity, multi-currency hedging strategies.
- Support the mapping of interest rate risk through DV01 analysis and the automation of hedging strategies.
- Participate in IFRS valuation and delta attribution projects, linking market impacts to revenue drivers.
- Contribute to the refactoring and optimization of our code using Python and SQL.
- Assist in the analysis of pricing and revenue optimization strategies.
- Document and present quantitative findings to the team.
- Brainstorm and c...
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