Requisition ID 33530 Office Country United Kingdom Office City London Division Risk Management Contract Type Intern Contract Length 12 months Posting End Date 02/06/2023
Purpose of Job
Under the supervision of the Associate Director, Quantitative Risk Analytics (QRA), the prospective intern will focus on specific quantitative projects, contributing to the development of the models and tools used by the QRA team.
Accountabilities & Responsibilities
- Automate the sourcing of data used as input in the model inventory maintained by the team.
- Contribute to the development of Python and C++ code for the Quantitative Risk & Analytics models and methodologies.
- Participate in the in-house analytical/pricing library implementation including new scenarios generation models, pricing functions, risk factor calibration, backtesting, sensitivities calculation or risk aggregations.
Knowledge, Skills, Experience & Qualifications
- Masters or Bachelors in Quantitative Finance, Engineering, Maths and/or Sciences
- Strong analytical, quantitative and programming skills.
- Ability to explain complex quantitative concepts in an accessible way and proven English language drafting skills.
- Familiarity with options pricing theory, stochastic processes, Monte Carlo simulation, advanced statistical estimation and filtering.
- Basic understanding of major capital markets instruments across asset classes, including interest rate, foreign exchange, inflation, credit derivatives and hybrid products).
- Familiarity with any of the following: C++, Python, Matlab, R.
Competencies & Personal Attributes
- Ability to work to deadlines and under time pressure.
- Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities.
What is it like to work at the EBRD?
Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.
The EBRD environment provides you with:
- Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
- A working culture that embraces inclusion and celebrates diversity;
- An environment that places sustainability, equality and digital transformation at the heart of what we do.
Diversity is one of the Bankโs core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.