Quantitative finance researcher

  • Сбер
  • Россия, Москва

We are looking for people with experience 5 - 7 years and background in quantitative finance, risk management and validation. Successful candidates will lead quantitative and methodological topics related to pricing at fair value of derivatives and credit instruments


Кванты, Исследования и Аналитика Банки Специалист / Аналитик Постоянная, Полная Нет 01.02.2021 - 31.10.2021 11182

Описание вакансии

Key responsibilities

  • Verification of models (derivatives & credit instruments): testing, documentation and conveying results.
  • Proposing/testing the models/approaches for pricing bespoke and exotic trades. Regular calculation of model adjustments.   
  • Regular calculation of CVA/DVA, testing new products and releases, documentation.
  • Enhancing methods of processing market data for IPV processes.
  • Regular calculation of portfolio of structured loans, Greeks calculation, P&L explain


Desired skills and Qualification

  • Master degrees in Mathematics/Physics and Finance/Economics
  • Deep understanding of quantitative finances related to derivatives’ pricing (especially credit)
  • Understanding of IFRS requirement related to fair valuation of derivatives and loans (IFRS 9/13)
  • Strong computer skills, experienced SQL user and ability to write solid code in any OOP language
  • Good soft skills, result oriented hard worker, ability to explain complicated matters with simple language, attention to details, stress tolerance


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.