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Internship Offer Murex: Validation of Hybrid Exotic Products For Client Projects
MX.3 is an integrated Front to Back
system specialized in the management of all instruments traded in
derivatives market. It is especially used by leading financial
institutions for the management of securities instruments, cash,
derivatives exchange, rate, share, commodity and complex structures.
Over the last years, requirements of
structured treasury business have evolved towards more accuracy in
pricing and risk management due to increasing regulatory requirements.Structured
treasury businesses aim to raise capital by issuing structured bonds
sold to investors looking for enhanced returns. These institutions,
either local government agencies, or internal desks in banks are not
willing to manage the exotic risk and transfer it to banks through an
exotic swap transaction.
Very often, these structures embed early
redemption features (Barriers, Call, Target) on top of a strip of
options on FX, Equity or COM underlyings. They are named PRDCs,
Autocallable Equity, or structured MTN products. They require hybrid
models and this will be the focus of the research project. The
Libor market model / CEV for hybrid trades has been developed and
requires validation. The use of the model in MX.3, the financial
products that use the model in MX.3 needs to be bedded down with the aim
of packaging a fully tested and re-testable solution to be used “out of
the box” for our clients.
We also have developed testing tools to facilitate model validation, which the intern will help develop through his use.You
will be embedded in the Model Validation Team, part of the Front Office
Product Evolution Services (PES-FO), a team of 5 financial engineers
coming from 4 different countries, under the supervision of the
structured treasury expert. Starting with pricing usual hybrid products,
you will learn the integration points, model calibration and
pricing/risk outputs. These will be key tools to performing the
You're completing your 3rd year of engineering school
You have a strong interest in finance and derivatives pricing
You are rigorous, curious, willing to learn and have technical skills (scripting, basic unix commands)
You have excellent communication skills to efficiently work in a multicultural environment
You have 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.