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.

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.