xVA Quantitative Financial Engineer

Job ID:  38703
Location:  PARIS (FRA)




Who we are ?

Murex is a global fintech leader in trading, risk management and processing solutions for capital markets. Operating from our 19 offices, 2500 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. 



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