Internship - Monte Carlo Models for Counterparty Credit Risk
Core
Intern supporting the analysis and monitoring of simulation-based Monte Carlo models for measuring Potential Future Exposure (PFE) and Pillar II Exposure at Default (EAD) in derivative portfolios.
Role type
Intern, quantitative risk model monitoring
Builds
Simulation-based models for counterparty credit risk (PFE and EAD)
Domain
Financial services, Counterparty Credit Risk, Quantitative Risk
Deliverable
production ML models
Required skills
Python, SQL, data analysis, statistics, Monte Carlo simulation, financial modeling
Preferred skills
pandas, NumPy, data visualization, knowledge of derivatives, counterparty credit risk
Responsibilities
Monitor performance and assumptions of PFE and EAD Monte Carlo models, process large datasets to automate analyses, support quantitative assessments of model convergence and calibration, document methodologies and results, collaborate on model improvements, explore advanced analytics and AI for risk monitoring.
Seniority
Intern
