12-Month Computational Finance Internship

About the role

Join the Global Market Division’s XVA / Scarce Resources team for a 12‑month internship focused on computational finance. You will support strategic projects such as the Smart XVA Project by applying machine‑learning techniques and financial modelling.

Key responsibilities

• Develop and refine machine‑learning models in PyTorch, covering supervised, unsupervised and reinforcement‑learning algorithms.
• Collaborate with the XVA and Scarce Resources desk to enhance XVA pricing and modelling, using C++ and Python to maintain the XVACCR library.
• Design neural‑network solutions to accelerate XVA computation and optimise risk‑weighted assets in electronic trading systems.
• Work with Risk Management, Trading and other internal teams to evaluate model performance and integrate feedback.
• Contribute to the collateral‑management platform and assist in front‑office and risk‑systems migration projects.

Required profile

• Bachelor’s degree in Computer Science, Engineering or a related discipline.
• Proven experience in computational machine‑learning engineering, XVA modelling and algorithmic‑adjoint‑differentiation (AAD) techniques.
• High level of creativity, autonomy and strong team spirit.

Required skills

• Python programming
• C++ programming (desirable)
• SQL
• PyTorch