Treasury is looking for a Quantitative Analyst, who will develop models and optimize risk steering processes. In this position, you will be able to make immediate impact on decision making, covering interest rate and liquidity risk, and also optionalities within banking book.

Responsibilities:

  • development of models for pricing and hedging customers optionalities (prepayments, withdrawals, replenishments);
  • modelling clients behavior for different types of products;
  • design of optimal balance sheet steering.

Requirements:

  • MSc in mathematics, physics, finance, statistics or economics (NES or ICEF-HSE degree would be a plus);

  • understanding of econometric models building process beginning from the problem statement and data collection to estimation techniques and hypothesis testing altogether with model validation;

  • knowledge of time series models (stationarity, causality, cointegration);

  • strong knowledge of probability theory and statistics;

  • knowledge of interest rate models;

  • good understanding of financial markets and instruments including but not limited to bonds, FX/IR swaps and their pricing;

  • knowledge of basic concepts and metrics for risk management;

  • understanding of macroeconomic concepts;

  • understanding of machine learning algorithms and their applications would be a plus.

Skills:

  • advanced Python3 skills and proficiency in numpy, pandas, scipy;

  • experience in SQL;

  • ability to conduct research/read papers and code models from scratch;

  • ability to communicate complex ideas in clear and concise way;

  • fluent English.

What we offer:

  • low formalism/ bureaucracy corporate culture;
  • driven, cooperative and sophisticated team;
  • competitive salary and excellent social package;
  • comfortable office near metro Smolenskaya.

Junior Quantitative Analyst
В архиве с 9 июля 2021

з/п не указана

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