Balance sheet modelling team is responsible for development of model framework which provides holistic view on the Bank’s balance sheet, NII, structural interest rate risk, FX risk and liquidity risk positions and leverage exposure. 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 6 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 s 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.
Требования к кандидату
6 лет (Обязательно)
Финансовые услуги (Обязательно)
Английский: Свободный (Обязательно)