Espace Recruteurs

STAGE - 3A - Validation of the CMS spread options priced with Gaussian Copula model H/F

Murex Paris, France
Mise en ligne il y a 7 heures CDI Competitive
STAGE - 3A - Validation of the CMS spread options priced with Gaussian Copula model H/F
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.
Operating from our 19 offices, 2500 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.

Team​
You will become a part of the Front Office (FO) 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 Equity Derivatives, Non-Linear Rates, Foreign Exchange Derivatives, Commodity Derivatives, etc. to build trading solutions. Similarly, we assist Client Services and regional offices across the globe to provide cutting edge solutions to our clients.

Mission
A constant-maturity swap (CMS) rate is the break-even swap rate on a standard swap of a fixed maturity called tenor. One can loosely see the CMS rate as an average over a fixed maturity e.g., CMS10Y denotes a 10-year swap rate. CMS Spread options are popular light exotic options that allow to gain an exposure to the difference between short term and long term swap rates e.g., a call option on CMS 20Y - CMS 2Y spread.
A naïve approach to evaluate spread options consists in using of Kirk's approximation formula, which is a simple function of at-the-money volatility of each swap rate and a terminal correlation. But for more consistent pricing of the product, one should modelize a joint dynamic of the short and the long swap rates under the Terminal measure.

Murex recently implemented a new model which is a combination of Linear Terminal Swap Rate Model and Gaussian Copula. 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
  • Validate accuracy and robustness of the model
  • Validate calculation of Greeks (model sensitivities to market parameters)
  • 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.

Profile
  • 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 master python including numpy, pandas, matplotlib
  • You can efficiently communicate in multicultural environment: English is a must
  • You have strong analytical and problem-solving skills
.videocomponent1bb64face650ec41 a{ border: 1px solid transparent; } .videocomponent1bb64face650ec41 a:focus{ border: 1px dashed #00a3e1 !important; outline: none !important; } window.youtubevideos = window.youtubevideos || []; window.youtubevideos.push({'src':'//www.youtube-nocookie.com/embed/HetRPHA3J6w?rel=0&autoplay=0', 'alttext':'','component':'youtube1bb64face650ec41HetRPHA3J6w'})

Référence  848670701
À PROPOS DE CETTE ENTREPRISE
Paris, France
2500 Collaborateurs Technology
Murex, l’un des plus grands éditeurs de logiciels français, développe depuis 1986 la plateforme de référence pour les marchés de capitaux. Aujourd’h...
Plus d'offres de Murex
Murex
Client Services - Flex - Model Integration Consultant
Murex
Paris, France
il y a 7 heures Full time Competitive
Murex
STAGE 3A - Introduction of the Monitoring Framework in NFR tests H/F
Murex
Paris, France
il y a 1 jour Full time Competitive
Murex
Consultant Expérimenté APIs Management H/F
Murex
Paris, France
il y a 3 jours Full time Competitive
Murex
Client Services - Senior Trading Consultant Commodities
Murex
Paris, France
il y a 3 jours Full time Competitive
Murex
Product Front Office Financial Engineering - Interest Rates Derivatives H/F 1 1
Murex
Paris, France
il y a 3 jours Full time Competitive
Murex
Junior Business Analyst / Analyste in market Risk
Murex
Paris, France
il y a 3 jours Full time Competitive
Murex
Model Validation Consultant
Murex
Paris, France
il y a 3 jours Full time Competitive
Murex
Consultant Credit Risk spécialisé xVA/PFE H/F
Murex
Paris, France
il y a 4 jours Full time Competitive

Donnez un nouvel élan à votre carrière

Trouvez des milliers d'opportunités emploi en vous inscrivant sur eFinancialCareers dès aujourd'hui.
Offres recommandées
Edhec Scientific Analytics
Internship Q1 2023 - Quant Research
Edhec Scientific Analytics
Paris, France
S.R Investment Partners
Junior Quantitative Risk Analyst
S.R Investment Partners
Paris, France
Eton Clarke
Derivative Solution Sales
Eton Clarke
Paris, France
AXA IM LTD
Structurer
AXA IM LTD
Puteaux, France