Treasury Alm Analyst - Quantitative

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Treasury Alm Analyst - Quantitative, Madrid

Client: Ebury

Location: Madrid, Spain

Job Category: Other

EU work permit required: Yes

Job Reference: 598022048622575616032460

Job Views: 1

Posted: 31.03.2025

Expiry Date: 15.05.2025

Job Description:

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.

Your responsibilities for this role will be:

1. Conduct quantitative research with both financial risk modelling and statistical models to measure liquidity constraints and counterparty risk in FX derivatives and structured products.
2. Assist in developing and back-testing of Monte Carlo stochastic models for FX portfolio liquidity stress tests in Python.
3. Develop portfolio market risk and credit risk management models to assess portfolio risk tolerance and drive business decisions.
4. Evaluate and recommend effective financing and hedging strategies to limit portfolio exposure and liquidity risk.
5. Develop risk and performance metrics at both individual trade and portfolio levels.
6. Produce comprehensive liquidity reports to facilitate executive-level decision making on company liquidity reserve, capital financing, and portfolio hedging strategies.
7. 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.
8. Build risk-based pricing models (e.g., liquidity risk, credit risk, swap risk, etc. - XVAs) to derive product minimum spreads.
9. Build statistical models to maximise product spreads by analysing corporate customers' financials, geographic data, and historical hedging behaviour.
10. Quantify trading costs with different banks such as bid-ask spreads, swap costs, and margin posting agreement.
11. Embed model calculations in either Excel pricing tools or Google Data Studio dashboards for the front office.
12. Recommend strategies and pricing for structuring complex FX derivative products (e.g., Cross currency swap, options structures, and deal-contingent forwards).
13. Identify portfolio Macro risk factors and promote beta neutral trading strategies.
14. Develop frameworks to evaluate the dealers' profitability and performances.
15. Familiarity with International Financial Reporting Standards (IFRS - valuations of FX derivatives).
16. Assist the FP&A team with liquidity forecasts and budget preparation.

Requirements:

1. Economics or quantitative degree ideally with knowledge of financial modelling, accounting, and econometrics.
2. Advanced experience working with Microsoft Office Suite (Excel, PowerPoint) and Google Docs Editors Suite, Python, SQL.
3. Familiarity with BI tools such as Looker and Google Data Studio.
4. Strong written and oral skills, ability to explain modelling results to non-technical audiences.

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 1700 staff with a presence in more than 25 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.