Senior Quantitative Treasury & ALM Risk Analyst (Fintech)

TL;DR

Senior Quantitative Treasury & ALM Risk Analyst (Fintech): Developing and implementing advanced quantitative risk models and hedging strategies for global forex derivatives with an accent on liquidity risk simulations, VaR99, and balance sheet evolution. Focus on automating hedging strategies through DV01 analysis, optimizing code in Python/SQL, and linking market impacts to revenue drivers.

Location: Hybrid (Madrid, Spain): 4 days in the office, 1 day working from home per week

Company

A fast-growing global fintech leader providing sophisticated forex derivatives, hedging, and integrated business account solutions.

What you will do

• Develop and implement advanced quantitative risk models, including liquidity risk simulations, VaR99, and portfolio correlation analysis.
• Simulate balance sheet evolution and develop multi-entity, multi-currency hedging strategies.
• Map interest rate risk through DV01 analysis and automate hedging strategies.
• Execute IFRS valuation and delta attribution projects to link market impacts to revenue drivers.
• Refactor and optimize the codebase using Python and SQL.
• Analyze pricing and revenue optimization strategies and present quantitative findings to the team.

Requirements

• 5+ years of experience in quantitative analysis or programming.
• Proficiency in Python (NumPy, Pandas) and SQL.
• Strong aptitude for quantitative financial mathematics and risk modeling.
• Confident communication in English, both written and spoken.
• Analytical and problem-solving skills with a creative approach to challenging existing methodologies.

Nice to have

• Experience in quantitative finance or data analysis.

Culture & Benefits

• Competitive starting salary and annual discretionary performance bonus.
• Dedicated mentorship from experienced managers.
• Access to state-of-the-art tailor-made tools and systems.
• Clear and accelerated career progression pathways to leadership or specialist roles.
• Comprehensive benefits package including health care and social benefits.
• Central office location in Madrid with excellent transport links.