Junior Quantitative Analyst

Knowledge/background:

• MSc in mathematics, physics, finance, statistics or economics (NES or ICEF-HSE degree would be a plus);
• understanding of econometric models building process beginning from the problem statement and data collection to estimation techniques and hypothesis testing altogether with model validation;
• knowledge of time series models (stationarity, causality, cointegration);
• strong knowledge of probability theory and statistics;
• knowledge of interest rate models;
• good understanding of financial markets and instruments including but not limited to bonds, FX/IR swaps and their pricing;
• knowledge of basic concepts and metrics for risk management;
• understanding of macroeconomic concepts;
• understanding of machine learning algorithms and their applications would be a plus.

Skills:

• advanced Python3 skills and proficiency in numpy, pandas, scipy;
• experience in SQL;
• ability to conduct research/read papers and code models from scratch;
• ability to communicate complex ideas in clear and concise way;
• fluent English.

Key responsibilities:

• development of models for pricing and hedging customers optionalities (prepayments, withdrawals, replenishments);
• modelling clients behavior for different types of products;
• design of optimal balance sheet steering.

What we offer:

• low formalism/ bureaucracy corporate culture;
• driven, cooperative and sophisticated team;
• competitive salary and excellent social package;
• comfortable office near metro Smolenskaya.