Senior Specialist: Quantitative Analyst
Core
Design, build, and maintain Treasury models for liquidity risk, interest rate risk (IRRBB), funds transfer pricing (FTP), and balance sheet forecasting.
Role type
Senior quantitative analyst (Treasury/Risk)
Builds
Treasury forecasting, optimisation, and behavioural models for pricing and balance sheet planning
Domain
Banking / Financial Risk
Deliverable
production ML models
Required skills
Statistical modelling, Forecasting, Classification, Optimisation, Statistics, Probability theory, Data analysis, Python, SAS, SQL
Preferred skills
Econometrics, Basel III, IFRS 9, Stress testing, Financial market knowledge, Interest rate derivatives, Fixed income securities
Technologies
Python, SAS, R, MATLAB, SQL
Responsibilities
Develop and maintain Treasury forecasting and optimisation models; Implement quantitative solutions for liquidity and interest rate risk metrics; Extract and analyse large Treasury datasets; Produce technical documentation for model governance; Collaborate with ALM, Funding, Risk, and Finance teams
Seniority
Mid-Senior, hands-on IC
