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

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