Financial Risk Management Department team is eligible for prudent risk management techniques for market risk, ALM, counterparty credit risk, arising from Corporate, Retail and Investment Banking activities. FMRM undertakes daily assessments and modelling for the Trading and Banking books and covers a wide range of market-risk related topics i.e. liquidity, FX and IR risk, market risk, Settlement& Pre-Settlement credit risks and margining requirements calculations.
The team covers also structural balance sheet modelling with behavioral assumptions (i.e. including Machine learning), risk-components development of dynamic balance sheet simulation and Algo-trading projects in close cooperative with Capital Markets and Treasury.
FMRM pro-actively participates in strategic analysis to support ALCO / Board / CRO in their decision-making activities on ALM-related issues for balance sheet management, product and pricing strategies, liquidity management, FX and IR risk exposures.
Job Description:- coordination, support and improvement of new products approval process from all aspects of Risk governance (market risk, ALM, counterparty credit risk, model risk);
- coverage of both Trading and Banking Book products (FX, |Rates, exotics, algo- and hedging strategies);
- developing of online control schemas and processes for HFT (algotrading/e-commerce);
- regression and back testing of algotrading/e-commerce/hedging strategies;
- end-to-end responsibility for New Products set-up in role of Business Partner and Project Manager from Risk side;
- close cooperation with FMRM Risk IT Team in all aspects regarding risk measures calculation development, support and improvement. Coordination of reporting implementation project, including OLAP cubes, interactive reports for presentations;
- participation in strategic ALM and Trading Platforms Solutions Development (Front-office, Limit Server, MarketDataWarehouse, Kamakura);
- participation in strategic analysis to support ALCO / Board / CRO / in their decision making on the issues related product pricing, liquidity management, FTP and ALM risk positioning.
Successful Applicant:- NES/ HSE / MSU / SPBU graduate with MA degree in Mathematics, Economics or Finance;
- good knowledge of Financial Mathematics, Statistics, Economics and Finance;
- practical knowledge of Derivatives market and pricing models approaches;
- understanding of ALM measures and measurement principles;
- at least 3 year of working experience in Market Risk / ALM / Trading units in a universal or commercial bank with CIB products;
- good programming skills (VBA, SQL/SAS, Python);
- advanced or fluent English;
- experience in Project Management is a plus;
- professional Risk/Quant certification is a plus (FMRM/PRM/CFA/CQF);
- experience in Java programming, Machine Learning and Kamakura is a plus.
Whats on Offer:- full-time position with a competitive salary + performance related bonuses;
- excellent benefit package (free medical insurance, free gym, education in Raiffeisen Corporate university, Risk and ALM trainings abroad, etc.);
- outstanding opportunities to learn and progress in Risk Management and ALM (both Trading and Banking Books);
- opportunities to influence and improve Banks business Model and Risk Strategy.