Portfolio Engineer (Hedge Accounting) – Intern recruitment
Description
The AXA Derivatives platform (“AXA D”) structures, executes and manages derivatives on behalf of AXA insurance companies (“AXA D clients”). AXA D is composed of nine Derivatives professionals in France and in Japan and manages €85bn of derivatives on behalf of AXA D clients.
AXA D has been providing its clients with HA services to help them documenting derivatives under HA. These services include in particular the design and production on a monthly and quarterly basis of effectiveness tests to assess the validity of the hedges.
Mission Statement:
The Portfolio Engineer intern will be in charge of enhancing the Hedge Accounting solution as well as securing, producing and monitoring the HA production and reporting process.
In close relationship with the fund managers implementing the underlying hedging strategies and the Client Relationship Manager (CRM), the Portfolio Engineer will report to AXA D COO and will coordinate all support teams involved in the process.
1) Set-up, produce and monitor the Hedge Accounting reporting process for AXA D Clients
In particular the HA Portfolio Engineer intern will:
• Collect the required information to produce reports (from fund managers, systems…);
• Produce HA tests on Credit and Interest Rates instruments (“CDS” “IRS”) in due time for quarterly and monthly reports;
• Analyse the results of the tests by assessing the effectiveness of the hedges on CDS and IRS;
• Together with the CRMs, provide the clients with relevant output of the tests.
• Manage and lead discussions with internal teams as a referent point on HA process (Risk, Sophis Support, Business Analysts, CRM, Accounting, Finance…);
• Monitor HA portfolio and liaise with different FO teams (in particular FI teams) on related portfolios;
• Run First Level SOX tests that have been defined with Risk Management; and
• Make the HA reporting process SOX compliant by applying guidelines provided by Risk Management.
2) Revisit, enhance and secure the HA tests and reporting processes
In particular Hedge Accounting Engineer will:
• Develop and enhance AXA D existing tools;
• Review the current HA production and reporting processes;
• Make propositions to enhance the production process in order to improve efficiency and reliability of the output as well as to secure the production process from an operational point of view;
• Improve the HA process production using Sophis Tools (Automated files production should be targeted);
• Together with AXA D BSITS, formalise the HA processes in a detailed Operating Memorandum; and
• Actively participate to new HA business set-up (discussions with clients, PBRC and Auditors…).
3) Support AXA D COO in project management related to HA services and other transversal projects
In particular Hedge Accounting Engineer will:
• Coordinate with Business Solutions IT Services teams on AXA D main operational projects;
• Seek for enhancement of the HA service level delivered to the client by understanding their needs and expectations; and
• Make propositions for better quality/efficiency.
• Examples of other AXA D projects:
-Market Data enhancement (Super D),
-Apollo-Sophis interface,
-New Sensitivity report (to estimate capital costs or reliefs and counterparty risk Add-ons)
-Derivatives MtM Forecast Project
-IR stripper Enhancement
-Markit Port Rec tool
4) Support AXA D fund managers and Portfolio Controllers on operational key topics. Inter alia:
• Pricers;
• Derivatives Mark to Market Analysis;
• Simulations (in particular sensitivity analysis);
• Back-testing of strategies;
• Monitoring existing hedging strategies; and
• Valuations.
Key Technical skills and Essential Qualifications:
• First experience or internship as a portfolio controller or fund manager analyst.
• Technical, quant IT skills (e.g. VBA)
• Rigorous and precise
• Client focus mindset
• Ability to work quickly and efficiently
• Highly motivated, reactive and proactive
• Excellent English
Education Background: Financial / Scientific / IT Engineer
Location: Paris
Duration: 1 year