Internship - Computational Finance

12 Month Internship - Computational Finance

Join our Global Market Division as a Computational Finance Intern within the XVA / Scarce Resources team. This role is crucial in supporting the team across various strategic projects, including the Smart XVA Project, by leveraging advanced machine learning techniques and financial modelling skills. A deep understanding of computational machine learning and proficiency in Python are essential for this position.

• Implement and refine machine learning models using Pytorch, focusing on supervised, unsupervised, and reinforcement learning algorithms.
• Work closely with the XVA and Scarce Resources desk to enhance XVA pricing and modelling. Utilize C++ and Python to maintain and upgrade the XVACCR Library.
• Propose and implement innovative solutions using neural networks to drastically speed up XVA computation and optimise RWA in e-trading systems.
• Engage with various internal teams, including Risk Management and Trading, to assess model performance and integrate feedback into development.
• Actively participate in the development of the Collateral management platform and contribute to various front office and risk systems migration projects.

• Bachelor Degree / BSc Degree or equivalent, preferably in Computer Science, Engineering, or a related field.
• Proven experience in computational machine learning engineering, XVA modelling, and AAD techniques.
• High level of creativity, autonomy, and strong team spirit.
• Proficiency in C++ (desirable), Python, and SQL programming.

Europe, United Kingdom – London

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