Quantitative Market Analyst
3 semanas atrás
Ebury is a leading FinTech firm that offers a range of innovative products and services to help businesses manage their financial risks. As a Quantitative Market Analyst, you will play a key role in developing and implementing models to measure and mitigate liquidity constraints and counterparty risk in FX derivatives and structured products.
Key Responsibilities:- Conduct quantitative research and develop financial risk models to assess liquidity constraints and counterparty risk in FX derivatives and structured products.
- Assist in the development and back-testing of Monte Carlo stochastic models for FX portfolio liquidity stress tests in Python.
- Develop portfolio market risk and credit risk management models to assess portfolio risk tolerance and drive business decisions.
- Evaluate and recommend effective financing and hedging strategies to limit portfolio exposure and liquidity risk.
- Develop risk and performance metrics at both individual trade and portfolio levels.
- Produce comprehensive liquidity reports to facilitate executive-level decision making on company liquidity reserve, capital financing and portfolio hedging strategies.
- Build Python models and algorithms to streamline analytic functions such as calculation of mark to market for FX derivatives, portfolio sensitivity analysis, liquidity reports automation, etc.
- Build risk-based pricing models (e.g. liquidity risk, credit risk, swap risk, etc. - XVAs) to derive product minimum spreads.
- Build statistical models to maximise product spreads by analysing corporate customers' financials, geographic data and historical hedging behaviour.
- Quantify trading costs with different banks such as bid-ask spreads, swap costs and margin posting agreement.
- Embed model calculations in either excel pricing tools or Google Data Studio dashboards for the front office.
- Recommend strategies and pricing for structuring complex FX derivative products (e.g. Cross currency swap, options structures and deal-contingent forwards).
- Identify portfolio Macro risk factors and promote beta neutral trading strategies.
- Develop frameworks to evaluate the dealers' profitability and performances.
- Familiarity with International Financial Reporting Standards (IFRS - valuations of FX derivatives).
- Assist the FP&A team with liquidity forecasts and budget preparation.
- Economics or quantitative degree ideally with knowledge of financial modelling, accounting and econometrics.
- Advanced experience working with Microsoft Office Suite (Excel, PowerPoint) and Google Docs Editors Suite, Python, SQL.
- Familiarity with BI tools such as Looker and Google Data Studio.
- Strong written and oral skills, ability to explain modelling results to non-technical audiences.
We believe in inclusion and diversity, and we are committed to creating a workplace that is free from discrimination and harassment. We welcome applications from candidates from all backgrounds and perspectives.
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