Financial Engineer Intern recruitment
Description
AXA Investment Managers is the company of the Group AXA dedicated to the asset management. It has for activity the capital management for the third parties (like financial establishments, institutional corporates, insurance companies, pension funds, institutions of retirements, associations and private individuals) as for the insurance companies of the Group AXA. Within this entity, the team Financial Engineering has the principal role to design financial solutions like liability driven solutions, strategic asset allocations, structured products…All these solutions imply several assets classes and the role of the Financial Engineering team is to efficiently allocate this different type of exposure. The investment solution proposal must meet a set of objectives and constraints that clients require in terms of risk and return profile. Therefore, the objective is to propose to clients an offer adapted to their own needs, which integrates the broadest pallet of the expertises developed by AXA IM.
Position: Financial Engineer Intern within AXA IM Investment Solutions expertise.
Mission: risk premium modelling for Traditional and Alternative asset classes.
The intern will have the mission to analyse different financial asset markets and to assess how the risk reward can be modelled through the risk premium.
The risk premium is generally defined as the excess return generated by an asset class over the risk free return. Nevertheless, the choice of the risk free return is depending on the type of investors, investment horizon, markets, currency etc
One of the tasks of the intern will be to analyze the different markets from an historical perspective to understand the source of the performances and to identify the risk premium through econometric analyses.
The main objective will be to quantify the risk premium and to model it with statistical models and to integrate these models into the in-house strategic asset allocation tool (Monte-Carlo simulation using diffusion processes)
Currently, there is a methodology of calibration in line with our approach for traditional asset classes. This approach has been expanded to alternative assets with some adjustments. One of the intern’s missions will be to validate or to propose an alternative approach for the modelling framework and to develop a calibration taking into account all the type of assets.
The successful candidate will:
- Analyse the literature about the risk premium and to perform a comparison of the different available approaches
- Perform statistic / econometric analysis on the different markets
- Need to understand the current modelling framework
- Test and measure the impact of the new methodology on the strategic asset allocation output.
- Perform the analysis in collaboration with several AXA IM teams such as the Quantitative team or the Strategy department.
- Communicate, comment and discuss regularly the results with the team members.
Profile
- Engineering school 2nd/3rd year internship or currently studying a master’s degree in finance/mathematics.
- Financial skills: good knowledge of statistics (Econometrics, Tests, etc.), financial modelling and portfolio theory.
- Programming skills: the candidate must be familiar with Excel/Visual Basic. Matlab knowledge would be a plus.
- Good level of English is necessary (writing and speaking).
Duration: 6 months starting ASAP
Location: Paris La Défense