Junior Quantitative Developer, Treasury / Райффайзенбанк

Junior Quantitative Developer (Treasury)

Treasury is looking for a Quantitative Developer, who will support model development 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.

Key Responsibilities:

refactoring, optimizing code and implementing new features for pricing and hedging customers optionalities (prepayments, withdrawals, replenishments):
automation of clients behavior modelling for different types of products:
working on solution code quality by implementing well-known autotesting approaches:
collaboration with research and IT teams on models integration.
Knowledge/Background:
BSc, MSc or PhD in computer science, mathematics, statistics, physics, economics or finance;

Knowledge/Background:

· BSc, MSc or PhD in computer science, mathematics, statistics, physics, economics or finance;

· understanding of models building process beginning from the problem statement and data collection to estimation techniques and hypothesis testing altogether with model validation and transition to live use;

Skills:

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

· experience in SQL;

· knowledge of Git;

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

· fluent English;

· knowledge of Java and PySpark is a plus.

What we offer: driven, cooperative and sophisticated team; competitive salary and excellent social package; comfortable office near metro Smolenskaya.

Find out more about the vacancy you can by link, CV can be sent to: [email protected] with subject line «Junior Quantitative Developer (Treasury) »