Quantitative Market Analyst

hace 1 semana

Madrid, Madrid, España Ebury A tiempo completo

Ebury is a hyper-growth FinTech firm, named in 2021 as one of the top 15 European Fintechs to work for by AltFi.

We offer a range of products including FX risk management, trade finance, currency accounts, international payments and API integration.

Quantitative Market Analyst

Location:
Ebury Madrid office - 4 days per week office based, 1 day of home office

Your responsibilities for this role will be:

  • Conduct quantitative research with both financial risk modelling and statistical models to measure liquidity constraints and counterparty risk in FX derivatives and structured products.
  • Assist in developing and backtesting 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 executivelevel 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 riskbased 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 bidask 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 dealcontingent 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.

Requirements:

  • 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 nontechnical audiences.
LI-CG1

About Us

Ebury is a FinTech success story, positioned among the fastest-growing international companies in its sector.


Founded in 2009, we are headquartered in London and have more than 1300 staff with a presence in more than 20 countries worldwide.

Cultural diversity is part of what makes Ebury a special place to be.

From Sao Paulo to Dubai, Bucharest to Toronto, we enjoy sharing team experiences and celebrating success across the Ebury family.


Hard work pays off:
in 2019, Ebury received a £350 million investment from Banco Santander and has won internationally recognised awards including
Financial Times: 1000 Europe's Fastest-Growing Companies.

None of this would have been possible without our proudest achievement: our great people. Enthusiastic, innovative and collaborative teams, always ready to disrupt and revolutionise the fast-paced FinTech sector.

  • We believe in inclusion. We stand against discrimination in all forms and have no tolerance for the intolerance of differences that makes us a modern and successful organisation. At Ebury, you can be whoever you want to be and still feel a sense of belonging no matter your story because we want you and your uniqueness to help write our future._

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