Quantitative Analyst Intern

Model Validation Internship at Crédit Agricole CIB, supporting the validation of financial pricing models by analysing their assumptions, implementation, robustness and reliability, with exposure to pricing and XVA models across multiple asset classes.

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.

Our commitment to you!

Make an impact that matters

Your work contributes to a social responsibility and sustainable future.  As a founding signatory of the Equator Principles and a global leader in sustainable finance, we finance projects that benefit both people and the planet.

You can extend your impact through our Charities Committee, which provides annual paid volunteering leave to support causes you care about.

Grow without limits

Access development opportunities across the Crédit Agricole Group; whether deepening expertise, exploring new skills or taking on roles across borders. Our structured mentoring programme connects you with experienced colleagues, while cross-functional projects and learning initiatives help you build the capabilities that matter most to you.

Thrive in a culture built on trust

Be part of a collaborative environment built on trust, autonomy, and empowerment. Diversity is celebrated through our SPRING Diversity network, and our Sports and Social Club fosters genuine connections beyond the workplace. Crédit Agricole CIB is not just a place to work, it is a place where you can make a positive impact.

Shape the future of banking

From digital transformation to innovative solutions, you are fully supported to challenge conventions and turn ideas into reality.