Intern - Treasury Quantitative Analysis Unit - 2130

Job Vacancy | Tuesday, December 8, 2020

1. INTERNSHIP TOPIC:
"Derivatives Quant Intern."

2. SUMMARY OF JOB DESCRIPTION:
This internship will focus on financial modelling of derivative pricing in TDOT-QAU. The responsibilities will include analyzing structured derivative trades; performing financial validation of yield curve bootstrapping, forward curves, interpolation and resulting valuation; participate in XVA implementation and related data configuration; and reviewing ADB’s financial modeling and data management of structured derivative products.

The assignment will enable the intern to: (i) undergo on-the-job training on structured derivative products and related treasury activities, data flow, business processes, and treasury management systems; and (ii) work with the senior members in the team on various key projects ranging from derivative structuring, pricing, valuation, quantitative advisory, counterparty risk, and market data analysis.

3. PERIOD OF ASSIGNMENT:
• Duration: 8 weeks (with a possibility of extension)
• Timing: June 2021

4. LOCATION: ADB Headquarters, Manila, Philippines (or virtually, based on COVID-19 policies/restrictions)

5. EXPECTED OUTCOMES:
• Develop strong product and market knowledge related to ADB’s derivative funding structures.
• Enhance quantitative modelling tools (particularly pricing models) used by ADB in pricing structured derivative products.
• Recommend areas of improvement in pricing of new structured derivative products.

Qualifications

6. EDUCATION REQUIREMENTS:
Currently enrolled in a Masters or PhD program in Mathematics, Financial Engineering, Finance, Computer Science, Physics, Actuarial Science, or related field.

7. RELEVANT EXPERIENCE AND OTHER REQUIREMENTS:
• Knowledge and/or experience in derivatives pricing models and instruments across interest rate, cross-currency, inflation, foreign exchange.
• Strong mathematical skills including stochastic calculus, numerical methods, algebra, financial modeling, quantitative/engineering research.
• Experience with XVA modeling could be very useful.
• Hands-on experience with Excel, Bloomberg, Python or any other programming languages.
• Willing and able to learn and work independently or with minimum supervision.

ADDITIONAL REQUIREMENTS:
Upload the following documents in the “Attachments” section of your application:
1. Curriculum vitae (CV)
2. Proof of enrollment to a Masters or PhD program. Inclusive dates should confirm that you will be enrolled during the intended period of assignment.
3. Essay in MS WORD or PDF document, maximum of 1500 words per question. (Please see essay questions below)

ESSAY QUESTIONS:
(1) Describe one example of your experience that demonstrated your interest in working in ADB.
(2) Highlight your qualifications that will help accomplish this internship assignment (e.g., coursework, research, work experience, etc.).