Treasury Quant Analyst - Capital Optimization
This is a newly created role, reporting directly to a senior leader within the Treasury team. For this hire, the manager is looking for someone with expert coding skill + strong commercial knowledge to understand the business's needs.
The team is focused on conducting research, optimizing capital deployment in the front office, and enabling risk-taking across the business. Partnership with Senior PMs/Investment Team leads, technology + engineering teams, finance leadership, and senior risk professionals willl be expected.
For this role the ideal candidate is someone already working in a cross-functional team at a top tier investment bank. Exposure to corporate treasury strategy and/or engineering for treasury teams is ideal, but other experience with liquidity and funding optimization, liquidity risk management, or prime brokerage/counterparty quant strategy could be very helpful.
It's a great opportunity for professional growth: they are not building out a large team, this hire + the hiring manager are the team.
This person needs to be a self-starter who wants to be independently conducting research, leading optimization projects, and overall building something new within the Treasury team.
Requirements:
- Master's required, PhD strongly preferred (Physics, Mathematics, Statistics, or another similar quantitative discipline)
- Production-level Python programming (including quant libraries Pandas, PyTorch, NumPy, etc.)
- Experience with funding/liquidity optimization, liquidity risk management + modelling, prime brokerage + derivative agreements, and developing liquidity stress tests
- Deep understanding of repo agreements, overnight rates, and instruments used in repo trades
- Excellent written and verbal communication
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