Job Description
We are seeking a Talented Markets Data Scientist (Quantitative researcher) with expertise in FX risk modelling to join our dynamic Treasury team. This role focuses on driving our FX risk and pricing models and optimising their impact on our trading strategies.
Your work will have a direct impact on Wise’s mission and millions of our customers.
As part of the team, you’ll be at the forefront of designing, implementing, and refining models that manage foreign exchange (FX) risk, optimising the effectiveness of hedging strategies, supporting pricing, and influencing decision-making processes across the organisation. Your mission is to help us assess and manage our risks in real time, and help us keep lowering our prices and keep our market risk capital requirements scalable.
Our FX team manages the risk on our GBP 105bn+ FX book and our GBP 15bn of customer assets.
Here’s how you’ll be contributing:
FX Risk modelling and analysis:
- Develop and maintain advanced FX risk models, leveraging cutting-edge quantitative techniques to assess and manage FX risks (scenario modelling, stress testing, BAU risk metrics).
- Perform back-testing and calibration of models to ensure accuracy, robustness, and regulatory compliance.
- Collaborate with engineering teams to implement models within the risk and trading platforms, ensuring scalability and operational efficiency.
- Develop bespoke models and analyses in preparation for market stress events and new product launches
Customer-centric insights:
- Conduct in-depth quantitative analysis to support pricing strategies and deliver insights on FX impacts on customer portfolios and products.
- Model customer behaviour under various FX and market scenarios, informing decisions that maximise customer value and minimise risk.
- Proactively monitor and assess the customer impact of FX fluctuations, recommending risk mitigation strategies that align with customer needs and regulatory standards.
Collaborative strategy development:
- Work closely with FX dealers to integrate model findings into real-time risk management and FX hedging strategies underpinned by customer behaviour models across a multi-region portfolio of products and currencies, including many exotics.
- Partner with product and operational teams to translate complex FX risk scenarios into actionable insights for customer-focused solutions.
- Document and present model results and risk assessments to senior stakeholders, controllers and the Risk team (the second line of defence). Explain complex concepts and propose strategies that align with the company’s risk appetite and business objectives.
Qualifications
A bit about you:
- Strong Python knowledge. Ability to read through code, especially Java. Demonstrable experience collaborating with engineers.
- Strong knowledge in at least a few of the following areas: statistics, machine learning, linear algebra, optimisation.
- A good understanding of FX market fundamentals and risk management methods and techniques, including VaR/sVAR, EVT/ES, PFE, XFA and Monte Carlo methods.
- A strong product mindset with the ability to work in a cross-functional and cross-team environment;
- Good communication skills and ability to get the point across to non-technical individuals;
- Strong problem solving skills with the ability to help refine problem statements and figure out how to solve them.
Some extra skills that are great (but not essential):
- Experience in interest rate and cashflow modelling, derivatives pricing (including exotic options), behavioural models
- Real FX trading experience (especially with algorithms)
- Experience with building and maintaining backtesting engines and quantifying backtesting output using standard industry metrics (e.g. Sharpe, Sortino)
Additional Information
For everyone, everywhere. We're people building money without borders — without judgement or prejudice, too. We believe teams are strongest when they are diverse, equitable and inclusive.
We're proud to have a truly international team, and we celebrate our differences.
Inclusive teams help us live our values and make sure every Wiser feels respected, empowered to contribute towards our mission and able to progress in their careers.
If you want to find out more about what it's like to work at Wise visit Wise.Jobs.
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