Internship Quantitative Risk Analytics

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Description

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Under the supervision of the Associate Director, Quantitative Risk Analytics (QRA), the prospective intern will focus on specific quantitative projects, contributing to the development of the models and tools used by the QRA team.

Background

Quantitative Risk Analytics is a function within Risk Policy & Analytics unit of the Risk Management department. The function is responsible for the development of quantitative models developed in-house for the purpose of financial reporting and calculation of key risk metrics. Strong, independent and competent modelling function is a necessary component of the assurance process supporting financial reporting and key element in mitigating model risk.

Accountabilities & Responsibilities:

• Automate the sourcing of data used as input in the model inventory maintained by the team.
• Contribute to the development of C++ code for risk models.

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.

Source: https://jobs.ebrd.com/job/London-Intern,-Quantitative-Risk-Analytics/908731901/

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