Murex
Team and context :
The team is a part of the Product Development Division (PDD), responsible for designing and supporting our XVA/PFE analytics solutions, which consist of cross asset pricing & risk factors simulation models.
You will be working alongside other financial engineers/consultants, quant analysts, model developers and product experts.
Your missions / What you’ll do ?
- Work with MACS (model development team) to evolve and maintain XVA/PFE analytics solutions
- Gather business requirements and review specifications for development of new payoffs and models
- Conduct review of developers’ technical documentation to assess theoretical justification and methodologies
- Write validation reports for the newly developed payoffs and models following independent tests
- Support CS (Client Services) teams for existing and new clients globally
- Support model validation activities internally/externally
- Give internal trainings related to XVA/PFE analytics
- Maintain and update documents related to XVA/PFE analytics module including models/payoffs and their implementation details to the MX platform.
Your profile/Who you are ?
- Strong academic background in a quantitative field (computer science, mathematics, physics or engineering)
- Solid written and verbal communications skills
- Very good analytical skills, with an excellent knowledge of stochastic calculus
- Self-starter and proactive
- Creative and problem-solving skills in individual, team and collaborative settings
- Ability to multi-task across multiple assignments
Nice to have :
- Good knowledge of Python or R
- Experience in financial derivatives pricing, financial risk management, XVA/PFE
To apply for this job please visit careers.murex.com.