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Purpose of job

Under the supervision of the Associate Director, Model Validation, the prospective intern will focus on specific quantitative projects, contributing to the development of the tools used by the Model Validation team during its reviews and validations of quantitative models.

Background

Model Validation is a function within Risk Policy & Analytics unit of the Risk Management department. The function is responsible for the validation of quantitative models developed in-house and by external vendors for the purpose of financial reporting and calculation of key risk metrics. Strong, independent and competent model validation function is a necessary component of the assurance process supporting financial reporting and key element in mitigating model risk. The models reviewed and approved by the function cover: (i) construction of derived market data, (ii) measurement of market, credit and liquidity risk, (iii) measurement of economic capital and (iv) valuation of financial assets of the Bank for the propose of financial reporting.

Accountabilities and Responsibilities

• Automate the sourcing of data used as input in the model inventory maintained by the team.

• Contribute to the development of Python scripts allowing to price specific Interest rate derivatives such as CMS linked products

  
  

Knowledge, Skills, Experience & Qualifications

• Masters in finance, maths or the sciences.

• Strong analytical skills.

• Ability to explain complex quantitative concepts in an accessible way and proven English language drafting skills.

• Familiarity with options pricing theory, stochastic processes, Monte Carlo simulation.

• Basic understanding of major capital markets instruments across asset classes, notably with respect to derivatives (including credit derivatives and hybrids).

• Familiarity with any of the following: C++, Python, Matlab, R.

• Ability to work to deadlines and under time pressure.

• Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities.

What is it like to work at the EBRD?

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.

The EBRD environment provides you with:

• Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
• A working culture that embraces inclusion and celebrates diversity;
• An environment that places sustainability, equality and digital transformation at the heart of what we do.

Diversity is one of the Bank’s core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.

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