The candidate must have a minimum of a Bachelor's degree or equivalent, with experience in Computational Machine Learning engineering and XVA modelling. They should also have knowledge of AAD techniques and proficiency in programming languages such as C++, Python, and SQL. Strong soft skills such as creativity, autonomy, and team spirit are required.

The candidate will be responsible for mastering ML algorithms, implementing them in Pytorch, and collaborating with team members to develop high-quality financial models and C++ programming skills. They will also work on XVA implementation, propose solutions using neural networks, and demonstrate end-to-end understanding of applications. Efficiency, accuracy, reactivity, and innovation are key aspects of the role.

Software Engineering

United Kingdom

London

Large

Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of tier 1 capital (The Banker, July 2022). 

Nearly 8,600 employees across Europe, the Americas, Asia-Pacific, the Middle East and North Africa support Crédit Agricole CIB'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 markets 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.

Finance

Crédit Agricole CIB

Investment Banking

<ul><li>The XVA / Scarce Resources team is part of the Global Market Division (GMD). This 30 people strong team entails 3 sub-teams:&nbsp;</li><li>1 trading team: based in Paris,&nbsp;London&nbsp;and Hong Kong in charge of pricing XVA and hedging to reduce PnL volatility.</li><li>1 Quants team based in&nbsp;London&nbsp;and Paris.</li><li>1 XVA Strategy Projects and Transformation team (XVA ST) based in&nbsp;London&nbsp;and Paris.</li><li>In the framework of major regulatory changes, the mandate of the team is to:</li><li>Reinforce Bank risk management</li><li>Help reach and maintain the right balance between Meeting accounting &amp; regulatory constraints whilst remaining competitive</li><li>Optimise scarce resources like Risk-Weighted Assets (RWA), Leverage Ratio…</li><li>Manage defaults</li></ul><p>The mandate of the quant team:&nbsp;is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:</p><ul><li>XVA and Scarce Resources desk for XVA pricing and modelling</li><li>Risk department for Internal &amp; Regulatory CCR, Accounting XVA, and SIMM</li><li>Collateral desk for discounting, SIMM and IMVA with CCPs</li><li>Trading and Risk Management for Credit derivatives</li><li>The quant team closely works with the business to study and assess the models’ behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly. As such, the quant team will be strongly involved in the Smart XVA Project.</li><li>The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects.&nbsp;</li><li>Work on the XVA ML topics:</li><li>Clients trading behaviour Analysis</li></ul>

The XVA / Scarce Resources team is part of the Global Market Division (GMD). This 30 people strong team entails 3 sub-teams: 1 trading team: based in Paris, London and Hong Kong in charge of pricing XVA and hedging to reduce PnL volatility.1 Quants team based in London and Paris.1 XVA Strategy Projects and Transformation team (XVA ST) based in London and Paris.In the framework of major regulatory changes, the mandate of the team is to:Reinforce Bank risk managementHelp reach and maintain the right balance between Meeting accounting & regulatory constraints whilst remaining competitiveOptimise scarce resources like Risk-Weighted Assets (RWA), Leverage Ratio…Manage defaultsThe mandate of the quant team: is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:XVA and Scarce Resources desk for XVA pricing and modellingRisk department for Internal & Regulatory CCR, Accounting XVA, and SIMMCollateral desk for discounting, SIMM and IMVA with CCPsTrading and Risk Management for Credit derivativesThe quant team closely works with the business to study and assess the models’ behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly. As such, the quant team will be strongly involved in the Smart XVA Project.The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects. Work on the XVA ML topics:Clients trading behaviour Analysis

12 Month Internship - XVA

Requirements

Responsibilities

Crédit Agricole CIB

Mission & Purpose