The Market Data Scenario domain is responsible of handling scenarios on market data:

·       Generating and applying market data scenarios with different methods (historical variation, monte carlo, stress test routers …).

·       Applying scenarios on market data will change the values of a portfolio of position taken by a trader and allows to extract various risk statistics. This is commonly done for a regulatory purpose.

Missions:

To capture the risk on positions taken by traders, the risk manager can generate scenarios. Scenarios represent variations of the market data observed across past years, they are stored in a container. Sometimes the scenario saved should be edited to consider a new event. For example, during a corporate action, some equities can be split into several equities which may change how to interpret their past values. The goal of this internship is to implement an historization of the scenario container. The user should be able to switch between the edited and the previous version of the scenarios:

·       You will learn to design a clean data model.

·       You will learn advanced concepts in meta programming, clean design and optimize the code for performances.

·       You will learn to work on a large code base.

·       You will also discover how market data are represented in a market risk context.

Degree: master’s degree in computer science

« Mandatory » skills:

·       Familiar with the C++ language

·       Good communication and collaboration skills

·       Clean code principles

« Nice to have » skills:

·       Database knowledges

·       Shell knowledges

·       Source code management: GIT, Perfoce

·       Pipeline and test Automation: Jenkins

Duration: 6 months from March 2024.