STAGE 3A – XVA/PFE Analytics Solutions
Murex S.A.S
Paris
Internship
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.
Operating from our 19 offices, 2700 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.
You’ll be part of one global team where you can learn fast and stay true to yourself.
Description of the team/department :
XVA/PFE Analytics / ERM Counterparty Credit Risk Management
XVA/PFE Analytics Team is a part of the Product Evolution Service, focusing on cutting-edge XVA and credit exposure models. As part of the Product Evolution Service division, we are responsible for maintaining and providing guidance to the model development adapted to the business context, and performing model validation activities for XVA/PFE analytics solutions, which consist of cross asset pricing & risk factors simulation models.
Missions :
Backtesting methodology for counterparty risk models
This includes following tasks:
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Understanding of diffusion models used for XVA & PFE.
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Perform assessments of the conceptual soundness and the appropriateness of the backtesting methodology, for its intended purpose, assumptions and limitations.
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Implement the methodology and perform the tests via Python.
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Present the test results and outcomes.
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Interact closely with the model development team to improve the methodology and the design of the implementation.
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Provide the team with a high-level presentation of the needs and constraints imposed by the regulations.
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Provide guidelines and recommendations in terms of how the product should evolve in terms of packaging and new features, to better cope with these needs and constraints.
Profile :
Bachelor Master 1-2 in financial engineering/financial mathematics/mathematics.
« mandatory » skills :
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Strong quantitative, analytical, and problem-solving skills
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Good knowledge of stochastic calculus, financial mathematics and numerical methods
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Good written and verbal communication skills
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Good interpersonal skills with sound organizational skills
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Ability to work independently and to ask incisive questions
« nice to have » skills :
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Good working knowledge of Python
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Understanding of financial industry, products and payoffs
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Basic knowledge in XVA and PFE
Duration :
6 months from March/ April 2024