Quantitative Analyst

Дата создания: 23 июля 2020



Полная занятость



Raiffeisenbank’s 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.

•MSc in mathematics, physics, finance, statistics or economics (NES or ICEF-HSE degree would be a plus)
•Knowledge of interest rate models
•Strong knowledge of econometrics and probability theory
•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

Requirements & Skills:
•Experience in modelling (Risks, Treasury) is a plus
•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


Key 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


13 открытых вакансий

Райффайзенбанк — один из 11 системно-значимых банков России. Мы часть международной банковской Группы Райффайзен, традиции которой насчитывают более 120 лет успешной работы. Наша миссия — постоянно находить новые решения, которые делают жизнь наших клиентов легче. Вот то, что мы понимаем под инновациями.