Solytics Partners - Quantitative Analyst - Treasury & Market Risk Modelling

Company Profile:

Solytics Partners provides Consulting and Solutions to Banking, Capital Markets, Asset Management, and Insurance firms.

We leverage combination of deep domain knowledge, advanced analytics and technology to provide accelerated and efficient services and next generation solutions. Our team of senior consultants comes with significant global experience in key markets and advanced degrees in STEM. Our regulatory compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage

Job Title:

Quantitative Analyst - Treasury and Market Risk Modelling

Job Overview:

- The Treasury and Market Risk Modelling in Python role is responsible for developing, maintaining, and validating Python-based models for measuring and managing treasury and market risks.

- The role will work closely with the Treasury Risk Management team to ensure that the models are aligned with the bank's risk management framework and regulatory requirements.

Role and Responsibilities:

- Develop and maintain Python-based models for measuring and managing treasury and market risks, including interest rate risk, FX risk, commodity risk, and credit risk.

- This will involve developing models to calculate metrics such as Value at Risk (VaR), Expected Shortfall (ES), and stress test results. The models will need to be tailored to the bank's specific risk profile and portfolio composition.

- The role will work closely with the Treasury Risk Management team to develop and implement strategies to mitigate the bank's treasury and market risks. This may involve developing hedging strategies, setting risk limits, and monitoring risk positions.

- Validate and back test Python-based models to ensure that they are accurate and reliable.

- Implement and maintain Python-based risk reporting systems.

- Stay up-to-date on the latest developments in treasury and market risk modelling and ensure that the bank's models are aligned with best practices.

Key Skills:

- 5+ years of experience developing and maintaining Python-based models for financial risk management.

- Strong programming skills in Python.

- Experience in probability distributions, correlation, and regression analysis.

- Hands-on exposure in numerical integration, Monte Carlo simulation, and optimization.

- Excellent analytical and problem-solving skills

- Ability to work independently and as part of a team

- Experience with stress testing and scenario analysis

Other Skills:

- The candidate should have attention to detail and excellent analytical, problem-solving, and time management skills.

- Oral and written communication skills in English and the ability to understand compliance policies and process assigned tasks in accordance with procedures.

- Willingness and commitment to walk an extra mile to achieve client delight and ensure high-quality output delivery within stringent timelines.

- Ability to manage own assignments independently and help the team when needed.

- Ability to work with colleagues/clients located globally, and client. Strong stakeholder management skills