Murex is a recognized world leader in the development of financial software packages. Every day, around the world, prestigious financial institutions, hedge funds, asset managers and large group treasuries rely on employees and the Murex platform to support their market activities. Our motto "pioneering again" sums up our history: since its creation, Murex has continuously adapted to changes in the capital markets by offering innovative solutions adapted to the needs of its Customers.
Murex has more than 2,300 experts in 17 offices: Beirut, Dubai, Dublin, Hong Kong, London, Luxembourg, Moscow, New York, Paris, Beijing, Santiago, Sao Paulo, Seoul, Singapore, Sydney, Tokyo, and Toronto.
Subject: Validation of new CVA sensitivities
Context:
The credit losses arising from the global financial crisis, allied to evolving new regulatory and accounting requirements and the need to incorporate credit risk into transaction pricing, has led to an explosion of interest in the subject of Counterparty Credit Risk (CCR), valuation of credit adjustments (CVA) and many other adjustments (xVA) related to different pricing costs: financing, cost of capital, initial margin, etc.
The MX CVA Module provides an integrated solution for the calculation and management of CVA on a unilateral and bilateral basis. At the core of the solution, an efficient hybrid Monte Carlo simulation engine powers the computational framework to assess the credit risk of legacy books and accurately price the incremental CVA of new positions with full consideration of netting and portfolio effects.
The corresponding credit fees can be automatically transferred to a CVA desk's portfolios and accounting entries are generated by broking the marked-to-market charge from the unit of valuation to the desired unit of account in accordance with fair-value accounting standards.
The risk engine used for CVA can also be leveraged to deliver PFE calculations for risk control and limit management purposes, EPE for regulatory and economic purposes, FVA to benefit from funding costs, MVA to capture the funding costs of posting Initial Margin and KVA to capture the cost of holding regulatory capital.
The PES Credit risk team has several missions :
- XVA/PFE product evolution, both in terms of financial products coverage and functionalities
- Company-wide expertise and internal support on the module
- Pre-sales activities support : assist demos, workshops
- New implementations participation
Missions :
Several CVA sensitivities are today available in the MX.3 CVA module : DV01, FX Delta, CR01, IR and FX Vega, as well as second order and cross sensitivities.
Two of these sensitivities need to be enhanced:
- the CVA DV01: it is currently computed on the direct curves only i.e. coming from the curves directly linked to the trades, ignoring if these curves have curves dependencies or not. This does not meet CVA traders' requirements for CVA hedging who need to include cross-effects as in Front-Office. Cross-effects need to be captured in the CVA DV01 computation.
- The CVA Vega : today a shifted log-normal CVA Vega is computed. A Normal CVA Vega is needed as well.
Within the PES Credit risk team, your mission will consist in validating these new CVA sensitivities.
First, you will have a learning phase :
- Global overview of the Murex software
- Training on Counterparty credit risk and XVA and on credit risk mitigants (netting, collateral agreements)
- focus on the Monte Carlo simulation engine and its diffusion models
- focus on financial products, particularly IRD and FXD pricing
Then, your mission will consist in :
- Validating the new CVA sensitivities figures calculated by our Monte-Carlo simulation engine, using finite difference method, on a portfolio containing representative trades from different asset classes priced analytically or using an American Monte-Carlo.
- Validating these sensivities are consistent with Front-Office sensitivities and can be used in a hedging strategy.
- Writing a validation document detailing your findings and presenting it to the team.
- Writing a document, targeting both Murex consultants and clients, detailing the methodology to test and reconcile a CVA sensitivity in MX.3.
JOB requirements
Profile :
- Student in a last year of a master's degree in Engineering or of a Business School
- Good level in finance and in mathematics.
- Quick learning ability
- Team spirit and collaborative (agile environment)
- Problem solving oriented
- Fluent in English
Duration :
5 or 6 month
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