Senior Quantitative Analyst - Treasury

Purpose

Responsible for valuation of financial markets instruments, including interest rate, inflation and currency derivatives. Analysis and evaluation of financial structures, including risk management/hedging. Providing input into investment, funding, and risk management strategy development and implementation. Production of the monthly ALCO report and regulatory reporting. Development, implementation, and validation of quantitative models for market risk measurement. Performing hedge effectiveness tests on relevant derivative instruments for the end of financial year reporting periods.

Minimum Requirements

Relevant qualification with quantitative subject e.g economics, statistics.
Good understanding of interest risk, IFRS risk, assets and liability risk and CFM.
5 years' experience in credit risk.
7 years' experience in banking.

Main duties

Valuation of financial market instruments.
Regulatory Reporting.
Development and maintenance of quantitative models for measurement and optimisation of the bank's funding cost.
Balance sheet optimisations and Capital management.
ALM Risk management strategy execution and managing risk limits.
Governance, Risk Reporting Special projects.
ICAAP and Recovery Planning.

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Only shortlisted candidates will be contacted. If you have not heard from us in 4 weeks, consider your application unsuccessful.

Desired Skills