The position is for a Moscow-based cross-asset quantitative analyst, to be part of the front office quantitative research team for the capital markets' activity.The successful candidate will participate in the development of an in-house cross-asset analytics solution, and in the support of the third party analytics providers for ongoing trading and risk management activities. The environment being cross-asset, the scope of the position involves the full set of financial assets, with experience required especially in Rates, Foreign Exchange, and XVA activities, but the successful candidate ought to be able to take part in projects related to other asset classes (particulalrly Equities), depending on the business constraints.

Principal accountabilities

• The work consists in developing analytics to support the pricing, and risk management of new products originated from the trading activity.
• Definition of the payoff/ model / pricing methodology in a document (specification for the traders risk management, validated by the head of quantitative research).
• Implementation of the specifications (in practice, C++, but it may involve other language like python, or Excel VBA and API languages).
• Settings and validation of the integration of the solution into the front office system. 

Key competencies and qualifications

The candidate needs excellent qualification in mathematics and finance. He/She needs to be familiar with the processes involved in the daily operations of a trading desk and should have developed excellent knowledge with programming languages such as C++ and Python, and be ready to use them heavily on a daily basis. The main requirement is a former experience in both assessing the risks involved in a given product, as well as designing and implementing from scratch numerical methods to capture these sets of risks adequately and efficiently. The projects being greenfield, the candidate ought to have developed a strong expertize in delivering analytics in a production system without relying on pre-existing pricing tools or libraries.Communication skills are paramount as the successful candidate will be required to produce typeset documents or technical articles that explain and describe the concept of the analytics he/she develops. These documents should be different depending on the audience they target: ranging from mathematical and technically detailed for the other members of the quantitative research team, or without the implementation details for finance and risk management, to non-technical user guides for traders and structurers. He/She will also be required to help with desk tooling, such as scripting or spreadsheet template

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 & training for our employees.