CRO - Quantitative and Financial Instrument Valuation - Stage extra curriculare

Data: 16 set 2025

Località:

Milano, IT

Società: Intesa Sanpaolo S.p.A.

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Introduction

Validation and identification of valuation risks, their measurement and monitoring for the pricing models of financial instruments at Fair Value (derivatives, bonds, securitisations, etc.)
Calculation of Valuation Adjustments (Model Risk, Bid-Offer spread, XVA) for Accounting purposes
Implementation and calculation of Additional Valuation Adjustments (AVA) for Prudent Valuation purposes
Implementation of financial models and reporting in Risk Management systems

Requirements

Master of Science (Physics, Mathematics, Mathematical Engineering, Quantitative Economics and Finance)
Problem solving attitude
Ability to work in team
Knowledge of financial markets and the main financial instruments
Knowledge of the main pricing models of financial instruments
Elements of probability calculus, statistics, differential equations and stochastic calculus, mathematical finance
Knowledge of Python or mathematical packages such as Matlab
Knowledge of Machine Learning techniques
Knowledge of written and spoken English

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