Position purpose:

To provide the Trading Teams in the Department of Global Markets with modern mathematical models for the valuation of their derivative books and computations of associated risks**.**

Обязанности

Main functions:

Researches, designs and implements pricing and risk-management models for derivative instruments traded in the Department of Global Markets.

)Contributes new model and numerical method implementations to the centralized Pricing Service C++ library.

)Reviews, optimizes and improves existing numerical algorithms and models.

Provides quantitative advice to the Trading and Structuring Teams on new derivative products and new business ideas.

Activity framework:

)Area of the powers solved questions/degree: The solution of questions within widely certain the politician is also more whole than the organization

)Complexity of the resolved issues: The questions which are constantly demanding adaptation or development of new decisions by means of the analytical, interpreting, estimated, creative thinking

)Control of the end results: Floor Years

Требования

Knowledge, skills:

)Education / Compulsory additional education Existence of the highest education / an academic degree in the field of mathematics or physics.

)Experience Not Less Than Years

)Specialized practical / professional knowledge and abilities products, processes, systems Extensive knowledge of financial mathematics. In-depth knowledge of relevant asset classes. Knowledge of numerical methods and algorithms (finite differencing, Monte-Carlo simulations). Considerable experience in C++ programming.

)Administrative knowledge and abilities planning, management, integration Administrative skills are not required.

)Skills of communication and interaction communication Justification/argument. At interaction ability to understand other people, to give support and/or to influence them is required, using special knowledge or rational arguments to induce others to action or to convince them.

Условия work in the largest bank of Russia; employment according to the Labor Code of the Russian Federation; regular corporate training; Vmi, insurance against accidents and serious diseases; financial assistance and social support, corporate pension program; preferential credit conditions; a bright and rich corporate life;

Требуется senior quantitative analyst