12 Month Internship - Quantitative Analyst London, England
Crédit Agricole CIB
Full Time
London, England
10.56 - 12.04 GBP Today
Job description
Description du poste
Summary
With the help of the internship supervisor, in charge of a validation study topics within the model validation team.
The model validation team is the essential team to ensure the viability, robustness and reliability of the FO pricing models before they can be used for production purpose. All the new FO models/methodologies or any methodological changes should be validated by the team. For each validation request, the team analyses the assumptions and the proposed model/methodology to verify the theoretical relevance to the problem it is designed to address. Then tests and analysis will be done to check the
implementation as well as the behaviours of the model/methodology in terms of robustness and reliability. As long as it is possible, in particular for important pricing models, the team will re implement the model in the team’s internal library which covers all the asset classes (IR, FX, Hybrid, equity, XVA, credit). The whole study is expected to challenge all the aspects of the model/methodology and its numerical implementation. Moreover, the team exchanges closely with FO Research team and Trading desk on a large range of topics related to models & methodologies.
implementation as well as the behaviours of the model/methodology in terms of robustness and reliability. As long as it is possible, in particular for important pricing models, the team will re implement the model in the team’s internal library which covers all the asset classes (IR, FX, Hybrid, equity, XVA, credit). The whole study is expected to challenge all the aspects of the model/methodology and its numerical implementation. Moreover, the team exchanges closely with FO Research team and Trading desk on a large range of topics related to models & methodologies.
In addition, the team also works closely with the RM team and provides them technical support on all model/methodology related issues, in particular, on the various risk reports.
The candidate is required to have at least a master's degree level in financial mathematics or equivalent. In particular, the candidate should be familiar with stochastic calculus (Brownian motion, Ito Lemma, numeraire change, …) and relevant numerical methods (Monte Carlo, PDE resolution, asymptotic analysis, …). In addition, basic skills of programming are also required in order to implement models. Teamwork is the essential part of the role and communication capacity is also required for exchanges with
various teams (FO, Risk, IT, etc).
Key Responsibilities
- In accordance with FO model validation requests, organise and conduct the validation study with the internship supervisor.
- In case of need, conduct ad hoc analysis for Risk methodologies and provide technical support to RM teams.
- Contribute to the team’s internal library for pricing and XVA models/methods.
Legal and Regulatory Responsibilities
- Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and Compliance policies and procedures as issued from time to time; Financial Security requirements, including, but not limited to, the prevention of Financial Crime and Fraud including reporting obligations to the Money Laundering Reporting Officer.
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Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as
required to attain and maintain competence.
- Analytical
- Innovating
- Planning
- Team working and Independence.
- Strong skills in mathematical finance
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Knowledge / experience in C++ programming and ability to
programme in a common library project
Critères de candidature
Durée
12 Months
Niveau d'étude minimum
Bac + 3 / L3
Formation / Spécialisation
Education to degree level.
Strong skills in mathematical finance.
Desirable: Previous experience of intern in research of financial mathematics.
Soft skills
Outils informatiques
Entreprise Crédit Agricole CIB
A propos de Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB) Crédit Agricole CIB est la banque de financement et d'investissement du groupe Crédit Agricole, 10ème groupe bancaire mondial en taille de bilan 2021 (The Banker, juillet 2022). Près de 8600 collaborateurs répartis dans plus de 30 implantations en Europe, Amériques, Asie-Pacifique, Moyen-Orient et Afrique du Nord, accompagnent les clients de la Banque dans la couverture de leurs besoins financiers à travers le monde. Crédit Agricole CIB propose à ses clients grandes entreprises et institutionnels une gamme de produits et services dans les métiers de la banque de marchés, de la banque d'investissement, des financements structurés, de la banque commerciale et du commerce international. Pionnier dans le domaine de la finance Climat, la Banque occupe aujourd'hui une position de leader sur ce segment avec une offre complète pour l'ensemble de ses clients. Pour plus d'information : www.ca-cib.fr Twitter: https://twitter.com/ca_cib LinkedIn: https://www.linkedin.com/company/credit-agricole-cib/
