London – Long Term Internship 2023 – Rates, Credit & FX Quantitative Research
- We have open long-term intern positions in the quant teams supporting our Business Lines (Rates, Credit and FX).
- The Rates, Credit and FX quantitative research teams are responsible for the development of pricing and risk management models for Trading and Sales. They have daily exposure to structures, traders, sales as well as our technology and risk management teams.
Area of Responsibilities
Research & Development
- Creating and implementing the mathematical models and strategies used for pricing and market making
- Support direct Trading, Sales and Structuring on a day-to-day basis by helping analyse specific trades/risks and applying the optimal pricing model
- Pricing, risk management and relative value for flow, exotic and primary desks
- Assessing the suitability of the models used by reviewing their assumptions, derivation, implementation and limitations
- Responsible for best practices for PnL Explain and Predict globally
- Involvement in key transversal regulatory topics such as FRTB or MIFID II
- Interaction with risk teams for market risk capital models such as VaR, Stressed VaR, IRC, CRM or IMM.
- A minimum of a Master's or PhD in a quantitative subject such as Computer Science, Mathematics, Physics, Quantitative Finance or Engineering
- Excellent programming skills (C++, Python, Java, R or other equivalent)
- Data manipulation and database experience
- Interest in financial markets, economics and quantitative finance
- Experience of electronic markets, models and arbitrage strategies is not a prerequisite but a strong plus