Quantitative Market Analyst – Ebury

Titulo da Vaga: Quantitative Market Analyst

Localização: São Paulo – SP

Descrição da Vaga: 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:

• 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.
• 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 structures and deal-contingent 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 non-technical audiences.

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.About UsEbury 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.Please submit your application on the careers website directly, uploading your CV / resume in English.

Nome da Empresa: Ebury

Salário:

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