Laboratory for Financial Engineering and Risk Management (FERM Lab). Postdoctoral research positions. Deadline: March 25, 2014

The Higher School of Economics Laboratory for Financial Engineering and Risk Management (FERM Lab), Moscow, Russia, invites applications for postdoctoral research positions in the field of Financial Engineering.

The job involves:

• working under the direct supervision of  Professor Sergey Smirnov and the relevant project coordinator in the area of interests among FERM Lab's research projects:

1. Central counterparty margining of a portfolio of Financial Instruments based on optimal liquidation strategies of closeout for defaulted clearing members.
2. Credit Risk assessment and economic capital determination for the agency issuing mortgage backed securities;
3. Deriving Risk-Free Interest Rates and credit spreads from Bond and CDS quotes in the  euro area

• writing research papers for international peer-reviewed journals in co-authorship with the members of the Lab working on the project;
• teaching as well as public presentations of candidate’s own research at the research workshops are also encouraged.

Requirements:

• a PhD from an international research university in fields of Quantitative Finance, Mathematics or Physics
• strong background in data processing and data analysis;
• programming skills (Matlab, R),
• ability to work in a team;
• fluent English.

General conditions for Post-Doctoral Research positions can be found here. Appointments will be normally made for one year.

A CV, research statement and two letters of recommendation should be sent to fellowship@hse.ru by March 25, 2014.

The HSE is a young, dynamic, fast-growing Russian research university providing unique research opportunities.