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 validation.
Your profile

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.

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