The team actively participates in strategic analysis to support ALCo / Group CFO / Head of Treasury decision making on the issues related to balance sheet and product pricing strategy, FTP, ALM risk positioning.
- The position focuses on development of model framework to support balance sheet management: holistic dynamic balance sheet models for assets and liabilities structure, income, risk metrics, regulatory ratios evolution forecasting; behavioral models for balance / off-balance positions (e.g. embedded optionalities modelling, credit lines limits utilization); models for balance sheet and product portfolio structure optimization (currency, term structure, product mix) under account regulatory and market constraints;
- Participation in strategic analysis to support decision making on balance sheet strategy, FTP, product rates and ALM risk positioning;
- Coordination of risk-metrics and regulatory ratios implementation in ALM system for the banking book interest rate risk, FX risk and liquidity risk;
- Coordination of reporting implementation project, including OLAP cubes, interactive reports for presentations.
Sberbank Treasury team is looking for an ambitious and driven Treasury / Risk specialist who is available immediately or within 1 month.
The successful candidate will be:
- NES/ HSE / MSU / MIPT graduate with MA degree in Mathematics, Economics or Finance;
- Knowledge of Central Bank of Russia and Basel requirements for assets and liabilities management, interest rate, FX and liquidity risks management, capital adequacy calculation;
- Solid knowledge of Mathematics, Economics and Finance (statistics, econometrics, corporate finance, financial risk management, fixed income and derivatives);
- At least 2 years of working experience in financial / ALM / risk model development in a universal or commercial bank; Good IT skills (advanced MS Excel user, knowledge of VBA, SQL, R, Python is a plus);
- Excellent presentational skills, good working knowledge of MS Power Point; Advanced or fluent English (spoken and written);
- Experience in financial statement analysis or corporate finance is a plus.
What is on Offer
- Full-time position with a competitive salary + performance related bonuses;
- Excellent benefit package (free medical insurance, free gym, education in Sberbank Corporate university, ALM trainings abroad, etc.);
- Excellent working environment within dynamic and amiable ALM team (80% NES / HSE graduates);
- Outstanding opportunities to learn and progress in ALM (incl. IRR management, balance sheet management, funds transfer pricing, banking product management, product pricing);
- Opportunities to influence and improve Bank s business and risk strategy.