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Data Scientist · Liquidity Risk 249 views

Their Risk team sits at the very core of Revolut. It works across functions, products, and regions to monitor front-line performance and ensure that the business is on safe footing. People in the Risk team are among the first in the company to get involved in new business initiatives, from app technology to treasury and finance, to customer support.

If you want to gain priceless experience and exposure in one of the fastest-growing scaleups in Europe, helping to make Revolut safer for their customers, employees and shareholders, then apply to join their Risk department today.

About The Role

They are looking for an experienced quantitative data scientist to support modelling of liquidity risks across Revolut’s various lines of business. This would include, though not be limited to, modelling of contractual and contingent cash flows under various stress scenarios, translating portfolio shocks into liquidity impact, modelling uncertain customer behaviours, accounting for seasonal trends, market disruptions, and operational issues, quantifying intraday payment and receipt mismatches, and mining historical data to inform and refine risk calibrations. A suite of stress models is envisioned covering various combinations of severity, duration, product, region, and currency.

Successful candidates will be adept at conceptualising and modelling risk, designing sound and scalable data structures, prototyping solutions, and implementing robust production platforms. Their data stack is Python in the backend with Exasol as their data warehouse. They are hosted on Google Cloud Platform and their team relies heavily on Airflow.

About The Team

Liquidity Risk is an independent risk management function responsible for identifying, quantifying, and managing Revolut’s liquidity risk. The team operates as a second line of defence and is responsible for ensuring that global risks and controls are properly managed by first line businesses. They work closely with Treasury, Finance, Operations, Technology, and the broader Risk organisation to independently assess and oversee risk-taking activities.

What You’ll Be Doing

  • Design, develop, and implement liquidity stress models under various scenarios, including but not limited to short-and-long-term measures of liquidity sufficiency, intraday risk, and currency risk
  • Utilize and recommend the most optimal techniques for risk quantification, striking the right balance between accuracy, complexity, and ease of implementation
  • Design flexible models that can be adapted across different products, geographies, currencies, stress durations, etc.
  • Take an agile and iterative approach to development, starting with simple proofs of concept and scaling to production-ready platforms
  • Advice on, and adhere to, sound principles for risk data aggregation, reporting, and automation
  • Coordinate with Model Validation teams to ensure proper and timely validation of models, including all required documentation
  • Engage with the business and their engineering teams to evaluate new products and ensure appropriate risk capture

What You’ll Need

  • M.S. (preferably PhD) in data science, economics, physics, engineering, pure or applied mathematics
  • 2+ years of relevant work experience in a quantitative position, preferably related to risk/liquidity risk
  • Strong command of Python and proven ability to write efficient code
  • Experience with creating metrics to assess the impact and health of a model/solution
  • Good understanding of various stress testing methodologies along with practical experience with model development, implementation, and governance
  • Strong command of some flavour of SQL
  • Ability to break complex problems into smaller ones, propose practical solutions, and deliver scalable solutions quickly and accurately
  • Ability to work independently, exercise good judgment, and drive change
  • Strong interpersonal skills and English proficiency

What They Are Looking For

From employee 1 to employee 1400, you will be slotting into a global team that shares a number of traits.

You can work autonomously and take ownership. They thrive with the space and responsibility to solve problems.

You operate best without lots of bureaucracy. They don’t hide behind fancy job titles or clunky processes ‘because that’s how things are done’.

You approach work in a logical way. They are not afraid to make mistakes but they use data and logic to back up decisions and improve understanding.

And you share their mission to improve people’s relationship with their money.

The Benefits

  • Competitive salary
  • Biannual equity bonuses
  • All the latest tech you need
  • Skip the commute and work from home once a week
  • Roll with a free Revolut Metal subscription
  • Pension plan
  • Private health insurance
  • Don’t panic about cooking: get free dinners with Deliveroo
  • Start the day properly with fresh fruit and cereals
  • Stay refreshed: get juice, tea, coffee and soft drinks on tap
  • Rest up with 29 days’ holiday per year

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