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Job summary
This is an exciting opportunity to join a major European bank in London. The role is within the Risk And Permanent Control team.
You will have a great opportunity to manage a research study on the local correlation model and its implementation in the MRA library (VLib).
Key Responsibilities
You will be conducting a study of the literature on local correlations. You will review and determine which approach(es) is (are) robust for the pricing and risk management of various multi-underlying option types.
You will be taking ownership in implementing the selected approaches in the team's common library (VLib).
Job location
Geographical area
Europe, United Kingdom
City
London
Candidate criteria
Minimal education level
Bachelor Degree / BSc Degree or equivalent
Academic qualification / Speciality
• University graduate with a minimum classification of 2:1 or equivalent. Or an undergraduate currently during a course of study, predicted a minimum classification of 2:1 or equivalent
Required skills
Essential role requirements
• 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.
Desirable role requirements
• A PhD in a quantitative subject
• Previous experience of intern in research of financial mathematics.
Crédit Agricole CIB is the Corporate and Investment Banking arm of the Crédit Agricole Group, the world’s #13 bank measured by Tier One Capital (The Banker, July 2018).
The Bank offers its clients a comprehensive range of products and services structured around five major divisions:
• Client Coverage & International Network
• Global Investment Banking
• Structured Finance
• Global Markets
• Debt Optimization & Distribution
Resources:
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