Junior Quantitative Developer
ГородМосква
НаправлениеКазначейство
Дата публикации12.11.2021
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Junior Quantitative Developer

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.
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;
  • 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;
  • Knowledge of probability theory and statistics;
  • Experience in performance tuning;
  • Knowledge of multiprocessing and parallel computations;
  • Experience in data processing and visualization is a plus;
  • Knowledge of time series models (stationarity, causality, cointegration) would be a plus;
  • Understanding of financial markets and instruments including but not limited to bonds, FX/IR swaps and their pricing is a plus;
  • Understanding of machine learning algorithms and their applications would be a plus.
What we offer:
  • 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.