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12 Month Internship - Quantitative Analyst


Vacancy details

General information

Entity

About Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB)

Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of balance sheet size (The Banker, July 2022).
8,600 employees in more than 30 countries across Europe, the Americas, Asia-Pacific, the Middle-East and North Africa, support the Bank's clients, meeting their financial needs throughout the world.
Crédit Agricole CIB offers its large corporate and institutional clients a range of products and services in capital market activities, investment banking, structured finance, commercial banking and international trade.
The Bank is a pioneer in the area of climate finance, and is currently a market leader in this segment with a complete offer for all its clients.


For more information, please visit www.ca-cib.com

Twitter: https://twitter.com/ca_cib
LinkedIn: https://www.linkedin.com/company/credit-agricole-cib/
  

Reference

2022-71144  

Update date

27/07/2022

Job description

Business type

Types of Jobs - Risk Management / Control

Job title

12 Month Internship - Quantitative Analyst

Contract type

Internship/Trainee

Term (in months)

12 Months

Job summary

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.

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 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. Team work 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 in 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.
- Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as
required to attain and maintain competence.

Position location

Geographical area

Europe, United Kingdom

City

London

Candidate criteria

Minimal education level

Bachelor Degree / BSc Degree or equivalent

Academic qualification / Speciality

Education to degree level.
Strong skills in mathematical finance.

Required skills

Analytical, innovating, planning, team working and independence.

Technical skills required

Strong skills in mathematical finance.

Knowledge / experience in C++ programming and ability to
programme in a common library project.