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 also covers 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.
Job Description:- end-to-end responsibility for New IB Products set-up in role of Business Partner and Project Manager from Risk side;
- coverage of trading products pricing/strategies modeling (FX&IR, exotics, algo- and HFT);
- leading of validation, monitoring and back testing of algotrading/e-commerce strategies;
- developing of online control schemas and processes for HFT (algotrading/e-commerce);
- close cooperation with 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 Trading Platform Development (Front-office, Limit Server, Market Data Warehouse).
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;
- at least 3 year of working experience in Market Risk / Trading units in a universal or commercial bank with CIB products;
- good programming skills (VBA, SQL/SAS, Python);
- advanced or fluent English (spoken and written);
- professional Risk/Quant certification is a plus (FMRM/PRM/CFA/CQF);
- experience in Algo/HFT is a plus;
- experience in Project Management Java programming, Machine Learning is a plus.
Whats on Offer:- full-time position with a competitive salary + performance related bonuses;
- excellent benefits 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).