(Москва, Райффайзенбанк) Quantitative analyst in Treasury (Asset and Liability Management)
In Raiffeisenbank Treasury, team members manage liquidity, capital and interest rate risk position. Group collaborates with customer business lines, Risk management and capital markets to develop risk management- and transfer pricing solutions. Group constantly analyse large amounts of data and build quantitative models to support the right pricing or hedging decisions. Currently Raiffeisen is searching for a new team member who will build and improve models building on financial mathematics, statistics and data science methods.
AO Raiffeisenbank is a subsidiary of Raiffeisen Bank International AG. The Bank has been operating in Russia since 1996 and offers a full range of services to retail and corporate customers, both resident and non-resident, in roubles and foreign currencies. The Bank’s activities are supervised by the Systemically Important Banks Supervision Department of the Bank of Russia.

AO Raiffeisenbank is a subsidiary of Raiffeisen Bank International AG. Raiffeisenbank ranks 14th among the Russian banks in terms of assets, based on 2016 results (Interfax-CEA). According to the same Interfax-CEA data, AO Raiffeisenbank ranked 10th in terms of liabilities of individuals and 7th with regard to consumer lending.


Responsibilities:
  • Modeling of non-maturity products as well as customer optionalities (prepayments, withdrawals, replenishments) for hedging and pricing;
  • Behavioral models development for different types of customers according to behavioral patterns;
  • Determine valuation adjustments (XVAs) to the fair value of derivatives used for banking book hedging and pricing;
  • Build dynamic balance sheet simulation model to identify optimal pricing level subject to risk appetite and strategy.
Skills:
  • Higher education in mathematics, physics, or economics;
  • Deep knowledge of mathematical statistics, econometrics and financial mathematics;
  • Good skills in time series analysis and statistical models and methods (Monte Carlo simulation, statistical regression analysis, linear and cubic spline interpolation, etc);
  • Advanced Python skills (jupyter, numpy, scipy, pandas, scikit-learn, tensorflow, xgboost/lightgbm/h2o/catboost, matplotlib etc);
  • Experienced in querying databases (Oracle, SQL);
  • Understanding of financial markets, financial instruments (fixed-income, FX/IR derivatives, basis swaps, options) incl. their valuation and its application for hedging in banking book;
  • Knowledge of basic models of risk-measurement (sensitivities, VaR, stress-testing, etс.);
  • Experience: in bank Treasury or Market Risks is an advantage;
  • We are also considering of final year students with confirmed practice in banks (Treasury, Market Risk-Management departments);
  • Demonstrating an ability to analyze, prioritize, evaluate and form independent judgments;
  • Strong planning and execution skills;
  • Strong team player, communicator;
  • Fluent English, Russian is required.
Raiffeisenbank offers:
  • Working and learning in a driven, cooperative and sophisticated team of treasury experts in a leading international bank with low formalism/bureaucracy corporate culture;
  • Using the Big Data technology stack (Hadoop, Python, etc.) to help solve business problems, freedom to experiment, opportunity to study new algorithms, test new data sources and employ new technologies;
  • Professional growth inside the Big Data community: own platform for ML competitions, regular trainings, ML bootcamps, hackathons and meet-ups, you can participate in external trainings and Data Science conferences;
  • Excellent working conditions: competitive salary, voluntary medical insurance, additional payments for sick leave, as well as discounts on bank products and special offers from our partners (restaurants, hotels, training courses and much more);
  • Comfortable office in the city centre (near Smolenskaya metro station).
Send your CV titled «VMSK4773.SS28.QVMSK4930»to Aleksey.SMETANIN@raiffeisen.ru
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