Senior Quantitative Treasury & ALM Risk
E
Ebury Group
📍 madrid, madrid, Spain
Job Description
Senior Quantitative Treasury/ALM Risk Modelling & Analytics – Treasury Ebury is a dynamic fintech company and a leader in forex derivatives for hedging, offering sophisticated solutions to clients worldwide.
Ebury Madrid 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 optimisation of our code using Python and SQL.
Assist in the analysis...
Ebury Madrid 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 optimisation of our code using Python and SQL.
Assist in the analysis...