· 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:
· low formalism/ bureaucracy corporate culture;
· driven and cooperative team;
· competitive salary and excellent social package;
· comfortable office near metro Smolenskaya.
How to apply:
Send your CV to Veronika.Glazkova@raiffeisen.ru with subject “Junior Quantitative Analyst (Treasury)”