End-of-studies Internship
Il y a 3 mois
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.
Operating from our 19 offices, 3 000 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.
Équipe:
L’équipe « MACS » est responsable de l’implémentation des méthodes d’évaluation innovantes et efficientes cross-assets (Action, Change, Matières Premières, Crédit et Taux). Cela comprend d’une part la compréhension des modèles standards et la conception éventuelle de nouvelles modélisations adaptées aux besoins du marché et d’autre part l’implémentation et la maintenance de solutions (librairie quantitative, service ) permettant la calibration des modèles et l’évaluation et le calcul des mesures de risque (sensibilités, VaR, PFE, XVA ) des différents produits financiers. Une attention toute particulière est portée sur la précision des différentes méthodes implémentées ainsi que sur l’optimisation des temps de calcul, ce qui nécessite d’adapter les solutions aux technologies les plus innovantes (GPU par exemple).
Missions:
Pour certains produits dérivés, la vitesse de retour à la moyenne (ou mean reversion rate) des modèles à taux court peut avoir un impact important sur leur prix en plus des paramètres classiques de volatilité ou de corrélation. Ces paramètres de mean reversion sont généralement pris constant. En effet, la calibration / l'estimation de ces paramètres de mean reversion est bien plus compliquée que les autres paramètres car leur impact est à plus long terme.
Récemment de nouveaux articles ont été publiés ouvrant de nouvelles idées et perspectives quant à leur calibration pour la classe des modèles HJM multi-facteurs, de manière consistance avec les historiques de taux d’intérêt.
Dans ce cadre vous aurez pour mission:
- Etudier la stabilité et la robustesse de ces nouvelles méthodes sur un modèle Hull-White mono-facteur.-
- Etendre l’étude aux modèles 2 facteurs. Une des principales difficultés est la distinction des 2 means reversions avec en plus l’effet de la corrélation entre les facteurs.-
- Etendre aux modèles multi-facteurs (plus de 2)Une attention toute particulière sera portée à la fiabilité et la stabilité des solutions proposées et développées ainsi qu’aux temps de calcul.
Profil:
- Étudiant en dernière année d’École d'Ingénieurs/Informatique ou en Master universitaire, vous avez de solides connaissances des marchés de capitaux et des modélisations et méthodes associées.-
- Vous avez de bonnes connaissances en Python / C++.-
- Dynamique, rigoureux, et autonome, vous êtes capable de travailler dans un environnement agile.Pourquoi nous rejoindre ?- En intégrant l’équipe MACS (Murex AnalytiCS), vous travaillerez sur un sujet stimulant et innovant.-
- Vous évoluerez dans une équipe motivée et engagée cross-assets et cross-technologie-
- Vous aurez à disposition si besoin les dernières technologies (GPU par exemple).-
- Vous évoluerez dans un environnement agile, international, multiculturel et en croissance.Durée et date de démarrage:
Disponibilité immédiate pour une durée de 6 mois
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