Analyste quantitatif stage - IRB Non Retail - Vision prospective des évolutions de modèle - Risques - La Defense, Ile de France, France
Core
Develop and improve simplified modeling methods (shortcuts) for Internal Ratings-Based (IRB) risk models to assess early impacts on regulatory capital.
Role type
Quantitative Analyst Intern (Risk Modeling)
Builds
Simplified IRB model calculation tools and performance indicators
Domain
Banking / Financial Risk Management / Regulatory Compliance (Basel)
Deliverable
production ML models
Required skills
Python, R, Statistical modeling, Econometrics, Machine Learning, Database manipulation
Preferred skills
Climate and environmental risk concepts, English (written)
Technologies
Python, R, SQL
Responsibilities
Understand IRB modeling processes and existing tools, Identify potential modeling shortcuts, Develop and implement shortcuts in the existing tool, Measure the impact of simplifications, Improve tool visualization and performance, Test on a specific scope, Update documentation, Present findings to the team
