Quantitative Analyst Intern – IRB Non-Retail, Model Change Impact Tool
A six-month internship in the bank's IRB wholesale modelling team in La Défense. You would improve a tool that estimates quickly how changes to probability-of-default models affect regulatory capital.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Learn the steps of building an IRB probability-of-default model
- Pick which steps can be replaced by quicker approximations
- Implement those shortcuts in the existing tool and measure the loss of accuracy
- Improve the tool's charts, performance indicators and usability
- Test it on a chosen portfolio and update the documentation
What they ask for
Required
- Engineering school or Master's in statistics, applied maths or computer science
- R and Python
- Databases
- Statistical models, econometrics and machine learning
- Written English
- Autonomy and rigour
Preferred
- Climate and environmental risk concepts
- Education
- Engineering school or Master's student in statistics, applied maths or computer science
- Experience
- Students; 6-month internship
- Languages and tools
- Markets
- credit
How to prepare
- Build a PD model with risk differentiation and calibration on public data
- Study Basel IRB capital formulas and how PD changes affect risk-weighted assets
- Practise comparing exact and approximate methods and quantifying the trade-off
- Build a small interactive Python tool showing model impact
- Learn the regulatory requirements for wholesale PD models
What to study
- Probability, Statistics and Financial Data
- Econometrics and Financial Time Series
- Quantitative Risk Management
- Financial Machine Learning
- Python and Data Primer
The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on Société Générale’s site before applying: requirements, location and pay can change after we check them.
View the posting on Société Générale’s site ↗
SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Société Générale and doesn’t handle applications.