Quantitative risk modeling and simulation for stress testing
|Department||Markets Policy & Infrastructure Department|
|Preferred internship window||Summer Internship: May to September 2023|
|Description of Project||
Since the Global Financial Crisis of 2007-2008, stress testing has become an important means for banks and central counterparties (“CCPs”) to measure their risk exposure, and for central banks to assess systemic risks in the financial system.
The intern will work on industry-leading quantitative models to simulate extreme market movements and incorporate cutting-edge research on copula functions and extreme value theory into the modelling framework.
|Expected deliverables for the project||The intern will code and implement stress testing methodology and present the stress testing results.
|Experience and/or skills that the intern(s) may gain from the internship||The intern would appreciate how coding is used in finance and see how MAS work to ensure the financial system is stable.
|Pre-requisites preferred from the intern(s)||
Background: probability, statistics, quantitative finance, or econometrics (preferred: taken advanced undergraduate modules in statistics or econometrics)
|Other Job Functions||Financial Modelling
|Keywords related to the project||Quantitative Finance, Coding, Risk Modelling, Stress Testing, Econometrics|
|Apply Now||. Shortlisted candidates can expect to be notified within a month from the date of application.|