Job Description

The role involves developing quantitative metrics across the Banking Book and Corporate Treasury portfolios, leading a small team of quants to design and implement models that inform risk management related to market risks such as interest rates and funding.

Requirements

Bachelors’ or Master’s degree in Computer Science, Mathematics, Electrical Engineering or related technical discipline
Experience in quant or strat role ideally within Corporate Treasury, Asset Liability Management
Strong understanding of Interest rate modelling, Asset Liability Management, Funding deployment strategies, balance-sheet optimization
Experience in software development, including a clear understanding of data structures, algorithms and core programming concepts
Strong analytical and problem solving skills
Strong communication skills including experience speaking to technical and business audiences and working globally

Responsibilities

Develop quantitative metrics across the Banking Book and Corporate Treasury portfolios
Lead and work with a small team of quants to develop models and analytical frameworks
Proactively identify and assess key market risks related to interest rates and funding
Design and implement quantitative models to measure and explain market risks
Ensure results are intuitive, transparent and actionable