On parle de Math-Fi...
CV Ingénieur, Bac+5
en finance de marché
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Mis à jour le samedi 29 avril 2017
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Voir les 11 annonces de stage de MUREX
Internship Offer Murex: Model and Exotic Payoffs Validation Packages
Ever since its creation in 1986, Murex
has played a leading role in proposing effective technology as a
catalyst for growth and innovation in capital markets. Be part of the
Murex R&D department and contribute to our platform's evolution in a
dynamic environment exhibiting the software industry's latest trends.
The regulator requirements around model
validation have dramatically increased in a few years. Financial
institutions are bound to fully own the model validation of their
internal suite of models to be able to report it to regulator.
validation encompasses many tests which need to be repeated regularly
and are very often done manually for each and every model, resulting in
very high TCO. Murex developed a model validation tool which aims at
automating 80% of Murex model validation policy for any model for any
asset class (FXD, EQD, COM, IRD, Hybrids). We are looking
forward to increase coverage on IRD models by packaging model validation
tests for a Libor Market Model 1 and 2 factors.In addition, we aim at delivering exotic payoffs validation tools to facilitate product testing internally and for clients. We are looking for a 6 months intern to work hand in hand with the product team: Building and executing a model validation package for LMMDesigning
and implementing a prototype of validation package for a few best
seller exotics (FX TARF, Equity Autocallable, IR exotic product written
in user payoff language)You will be embedded in the Model
Validation Team, part of the Front Office Product Evolution Services, a
team of 5 financial engineers coming from 4 different countries, under
the supervision of the model validation expert.
3rd year of engineering school
Strong interest in finance and derivatives pricing
Good math level to understand stochastic models
Excellent communication skills to efficiently work in a multicultural environment
Good writing skills to write your Validation report according the standard imposed by the Murex Model Validation Policy
Working language is English/French
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.