Entity
About Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB)
Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of balance sheet size (The Banker, July 2022).
8,600 employees in more than 30 countries across Europe, the Americas, Asia-Pacific, the Middle-East and North Africa, support the Bank'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 market 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.
For more information, please visit www.ca-cib.com
Twitter: https://twitter.com/ca_cib
LinkedIn: https://www.linkedin.com/company/credit-agricole-cib/
By working every day in the interest of society, we are a group committed to diversity and inclusion. All our positions are open to people with disabilities.
Reference
2025-96521
Update date
05/02/2025
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.
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