Stage 3A - Consultant Financial Engineering: Validation of the Forward Market Model for IRD
Who we are:
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets. Operating from our 18 offices, 2400 Murexians from over 60 different nationalities ensure the development, implementation and support of our platform which is used by banks, asset managers, corporations and utilities, across the world.
Join Murex and work on the challenges of an industry at the forefront of innovation and thrive in a people-centric environment. The team:
You will become a part of the Front Office Trading Product Development Domain (PDD) which is at heart of MX.3 software evolution, where you will integrate the Financial Engineering team. Our multi-cultural team designs, validates and delivers Murex Advanced Analytics (MACS) which is a combination of rich catalogue of derivative products covering all asset classes, a large set of models for evaluation and risk management of derivatives.
We work closely with the quant development and integration teams to enhance our products and models. We provide our quantitative expertise and collaborate with FO Trading PDD teams like EQD, Non-Linear Rates, FXD, COM, etc. to build trading solutions. Similarly, we assist Client Services and regional offices across the globe to provide cutting-edge solutions to our clients. What you'll do:
Manipulations of LIBOR rates pushed local authorities to transition toward so-called risk-free rates (RFR) as a new benchmark for the interest rates products. LIBOR rates, also known as term rates, are fixed upfronts, whereas their replacement RFR rates are compounded rates fixed in-arrears. This profound transformation of the underlying lead to adaptation of models used for pricing of the interest rates derivatives.
The BGM (also known as the Libor Market Model) has been a market standard for valuation of the interest rate derivatives. As a part of the LIBOR transition solution, Murex recently implemented the Forward Market Model, which is an adaptation of the BGM model (see https://ssrn.com/abstract=3330240). The new model must undergo internal model validation, as a mandatory step before it can be incorporated in the official model catalogue.
Under supervision of the Front Office Financial Engineering team, you will work together with the Model Validation team, to conduct the model validation.
More precisely, you will elaborate and execute a test strategy to;
- Validate theoretical model assumptions and assess perimeter of their validity
- Validate accuracy and robustness of the calibration
- Validate Monte Carlo resolution method applied to the best-seller payoffs
- Validate calculation of Greeks
- Benchmark performance of the model
The ultimate deliverable of your mission is a model validation document summarizing the tests results, as well as a list of model gaps and limitations.
Validation activity will be mostly conducted via a web service using python for execution of tests and visualization of results. Who you are:
Why you should join us:
- You are in the last year of a master's degree looking for a 6-months internship
- You are passionate about technology and financial mathematics
- Strong academic background in a quantitative field (Computer Science, Engineering, Physics, Mathematics)
- Understanding of stochastic processes and financial mathematics
- You practice python
- You can efficiently communicate in multicultural environment: English is a must
- You have strong analytical and problem-solving skills
- A multicultural community united and passionate
- Complex challenges
- Continuous training
- Glassdoor top ten French employer