Quantitative Analyst - Treasury (IRRBB).
This mandate is run by SYMPHONI HR, a Mumbai-based executive search firm, est. 2003. Applications are email-verified and reach the search team running the role — confidentially, always.
About the organisation.
Our client is a leading global investment bank with a long-standing presence in financial services and a strong focus on regulatory excellence. They operate a global quantitative team that partners closely with regulators, risk, finance and technology functions. The organisation is known for a collaborative, technology-driven culture that values rigour, innovation and continuous improvement.
About the role.
This is an individual contributor role focused on Interest Rate Risk in the Banking Book (IRRBB) and related treasury modelling. You will build and enhance best-in-class treasury and liquidity models within a global quant team. The role spans the full model lifecycle, from design and implementation through to testing and documentation, and supports regulatory and internal reporting.
What you will do.
- Develop and maintain treasury and liquidity models using industry-leading frameworks and methodologies.
- Own end-to-end model development, including design, implementation, testing and documentation.
- Build and enhance IRRBB, liquidity, balance-sheet and cash flow forecasting models.
- Support regulatory and internal reporting, including PRA110 liquidity reporting and ICAAP VaR models.
- Collaborate with global quant, risk, finance and technology teams to deliver model solutions.
- Maintain a strong risk and controls mindset throughout the model development process.
What you bring.
- Knowledge of treasury risk and quantitative modelling, such as IRRBB, liquidity modelling, hedge accounting, ICAAP VaR and PRA110 reporting.
- Hands-on coding experience in Python, C or C++ (R also considered).
- Practical experience in model development, model validation and/or model implementation, with core development experience preferred.
- Experience across some of: IRRBB, RRP, TWD, hedge accounting, liquidity modelling, FX rate risk, ICAAP VaR, balance-sheet modelling and cash flow forecasting.
- Strong risk and controls mindset, business acumen and strategic thinking.
- An advanced technical degree in Statistics, Engineering, Numerical Analysis, Mathematics, Econometrics, Financial Engineering or Computer Science.
- 5 to 12 years of relevant experience.
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