Financial Engineer Internship: Validating Advanced Analytics Models
il y a 4 semaines
Overview
Murex, a global fintech leader in trading, risk management and processing solutions, is seeking a highly skilled financial engineering intern to join our Front Office Trading Product Development Domain (PDD). The successful candidate will have the opportunity to work on cutting-edge projects, collaborating with our multi-cultural team to design, validate and deliver Murex Advanced Analytics (MACS), a combination of derivative products and models for evaluation and risk management.
Estimated Salary: $60,000 - $80,000 per year
Job Description
We are looking for an ambitious individual with a strong academic background in a quantitative field, such as Computer Science, Engineering, Physics or Mathematics. As a financial engineering intern, you will be responsible for conducting the validation of the Gaussian Heath-Jarrow-Morton (HJM) 2-factor model for Bermuda swaptions under new market conditions.
You will elaborate and execute a test strategy to:
- Validate theoretical model assumptions and assess their validity
- Validate accuracy and robustness of the calibration
- Validate pricing and calculation of model sensitivities
Additionally, you will study the impact of multi-factor modelling on the pricing of Bermuda swaptions by comparing the HJM 2F model against the Hull-White 1F model.
The ultimate deliverable of your mission is a model validation document summarizing the test results, as well as a list of model gaps and limitations.
Required Skills and Qualifications
- Master's degree in a quantitative field
- Strong understanding of stochastic processes and financial mathematics
- Proficiency in Python programming language
- Excellent analytical and problem-solving skills
- Ability to communicate effectively in a multicultural environment
Benefits
Murex offers a dynamic and supportive work environment, where you can learn fast and stay true to yourself. Our team is committed to innovation and excellence, and we are passionate about developing the next generation of leaders in the financial industry.
Location
This internship is available starting in January and is located at one of our offices worldwide.
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