Quantitative Analyst - Treasury (IRRBB)
Confirmed on the employer's own hiring board on Nov 12, 2026. First seen by Alion on Nov 10, 2026. Symphoni HR scores A on the Alion truth index.
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.
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.
Responsibilities
- 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.
Requirements
- 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.
Skills
IRRBB, Liquidity modelling, Treasury risk and quantitative modelling, Python, C, C++, Model development, Model validation, ICAAP VaR, PRA110 reporting, R, RRP, TWD, Hedge accounting, FX rate risk, Balance-sheet modelling, Cash flow forecasting, Market risk model development, Pricing model experience, Full-stack development, Agile development