Quantitative Python Market Analyst

hace 2 semanas

Madrid, España Ebury A tiempo completo

Ebury is a hyper-growth FinTech firm, named in 2021 as one of the top FinTechs to work for by Glassdoor and AltFi. We offer a range of products including FX risk management, trade finance, currency accounts, international payments and API integration.

**Expected Areas of involvement**:
**Risk Modelling**:

- 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 back-testing 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 executive-level 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.

**Product Pricing and trading strategies**:

- Build risk-based 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 bid-ask 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 strucutures and deal-contingent forwards).
- Identify portfolio Macro risk factors and promote beta neutral trading strategies.
- Develop frameworks to evaluate the dealers' profitability and performances

**Finance**:

- Familiarity with International Financial Reporting Standards (IFRS - valuations of FX derivatives).
- Assist the FP&A team with liquidity forecasts and budget preparation

**Optimal skill set**:

- Education: Economics or quantitative degree ideally with knowledge of financial modelling, accounting and econometrics.
- Strong Python experience essential
- IT skills: Microsoft Office Suite (Excel, PowerPoint) and Google Docs Editors Suite, SQL.
- Familiarity with BI tools such as Looker and Google Data Studio.
- Communications: Strong written and oral skills, ability to explain modelling results to non-technical audiences.
- 2 to 5 years of experience in a similar role or position

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**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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