RWA Analyst – Risk modelling (Model Division – Risks CIB Department)

по договоренности
Сбербанк России
2020-08-14
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Responsibilities: RWA calculation Methodological support of business in respect to RWA calculation; RWA optimizing for complex intergroup deals; Developing prototypes of risk metrics in statistical packages/programming languages; Participation in IT projects for calculations automatization: BRD, user testing.

Requirements: University degree in Mathematics/Computer Science/Physics/Economics/Finance (MSU, MIPT, NES, HSE), Ph.D. in a quantitative field is an advantage; 1-2 years of experience in financial markets; Knowledge of derivative financial instruments; Understanding of the counterparty credit risk, market risk, CVA risk; Significant advantage: knowledge of Basel II/III, FRTB, Central Bank of Russia regulation (180-И, 511- П, 178-И, 3876-У), EU regulation (CRR, CRD, EMIR); Maths and Finance literacy; Data analysis skills (Excel is a must); Advantage: Python/R/VBA/Matlab knowledge or other programming languages/stats packages; Advanced English; Significant advantage: international professional certification (FRM, PRM, CFA, CQF, etc.)

; Personal skills: efficient, proactive, attentive to details, ready to work independently, result-oriented.

We offer: Stable job in highly professional team; Interesting path of career in an international organization; Private health care, fitness in the office, employees benefits; Extensive courses Modern office building (5 min from Moscow underground & MCC) ranked 1 among new Russian offices in 2017: https: //vc.ru/31111-10-luchshih-ofisov-rossiyskih-kompaniy-2017-goda


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