STAGE 3A - Reinvent the Market Risk communications & algorithmics H/F

Job ID:  39541
Location:  PARIS (FRA)

 

Murex is a global fintech leader in trading, risk management, and processing solutions for capital markets. Operating from our 19 offices, 2,500 Murexians from over 60 different nationalities ensure the development, implementation, and support of the MX.3 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 :

 

The team is responsible of calculating the risk related to market data variations. The most known approach consists in evaluating a Value at Risk (VaR), other approaches being related to FRTB methodologies. All the calculated values force the banks to lock some funds in order to hedge market data risks. 

Being part of a team with 9 developers, you will also work with another team of 5 developers (market-data-scenarios). 

 

Missions :

 

Your mission will be to :

 

  • search and select one or more middlewares (gRPC and/or other frameworks) that will be used to communicate between several java Market Risk processes in order to replace the current proprietary tool (called Globs RPC). Those communications concern both Request-response protocols and distributed streaming. Use the frameworks in the context of the Market Risk code line (development), and assess their performances as well as the overall pros/cons (testing & synthesis).

 

  • find, develop and test the most appropriate aggregation algorithms in the Market Risk computations context in order to have higher performance (time/memory).

 

  • develop a tool that exports Market Risk runs and results on disk using a public format (for instance Apache Parquet or HDF5), a minimum space and a controlled serialization/deserialization time.

 

  • put in place a Chaos testing automated framework on the market risk services (kill/hang a service and see that everything recovers).

 

Profil :

 

You like to : 

 

  • Develop in Java and know the basics of C++. 
  • Solve optimization issues, with a close control on performance (time, memory, latency...). 
  • Closely work with Product and Technical Owners in order to define, enrich, challenge specifications and constraints. 
  • Be exposed to most of the technical stack of Murex, and to interact with developers of lots of other teams. 
  • Learn, discover, and bring your own ideas.