· 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..
- 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.
- 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: driven, cooperative and sophisticated team; competitive salary and excellent social package; comfortable office near metro Smolenskaya.
CV can be sent to: Valentina.Zaytseva@raiffeisen.ru with subject line «Junior Quantitative Analyst»