Quantitative Treasury/ALM Risk Modelling & Analytics

Location: Ebury Malaga 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.
• Br...