Quantitative Analyst/Data Scientist, DOM.RF
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Quantitative Analyst/Data Scientist, DOM.RF

Do you want to produce a country scale impact while doing financial markets quantitative R&D? We develop Russian MBS market by enhancing both in-house and public pricing capabilities and sharing related knowledge. Currently we are looking to expand our team.

Details of day to day tasks are as follows:

Research and development of mortgage instrument pricing models. Development tasks include internal pricing engine performance tuning, public and private site integration and report automation. Research includes pricing and risk profile assessment for mortgage based securities by using and expanding an in-house simulation based OAS model, calibrating and enhancing credit models for loan portfolios, as well as analysis of interest rates, spreads, MBS and underlying pools dynamics.

Requirements

Solid technical education, versatile programming know-how and some public financial markets exposure are needed. Background in credit and interest rate modeling is preferred. Fixed income and credit related experience in banks or investment companies is also preferred. At the moment we have junior and middle level positions, implying 1-3 and 3-5 years of relevant experience.

Python, SQL, version control (we use git) knowledge is needed.

Linux, Shell, Kubernetes, Jupiter Lab, Latex, C#, React.js knowledge is desirable.

Good level of Russian and English is strongly preferred for periodical MBS market research contributions.

Conditions

Strong small team (MSU, MIPT, NES, HSE graduates, Sberbank alumni), partial remote as an option.
Market pay, full labor laws compliance, medical insurance

DOM.RF

DOM.RF is an integrated housing development institution. Established by a decree of the Government of the Russian Federation in 1997 to promote the implementation of housing policy.

DOM.RF attracts investment and improves the quality and affordability of housing.

Job type: Full-time
Experience level: Junior, Middle
Region: Russia, Moscow
Location: Office, Remote as option
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Status

Published (Active) Created: 10/02/2021