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.

• Educated to degree level.
• Strong skills in mathematical finance

• Previous short-term experience in research of financial mathematics

• Analytical, innovating, planning, team working and independence.

• Strong skills in mathematical finance.
• Knowledge / experience in C++ programming and ability to
  programme in a common library project