Role: Finance Intern
Duration: 6 months, starting as of February 2019
Location: Geneva, Switzerland
Mercuria’s Finance Team is looking for a strong intern to support them. The Finance Team coordinates all the physical and financial elements that enable the realization of large-scale transactions anywhere along the supply chain. Working with our trading desks, the Team operates across all commodities and all the potential markets, helping partners meet their business objectives by providing access to adequate financial resources. The intern will support the Finance Team in one of three six-month projects, being the development of a new FX Risk Engine, the drafting of statistical tools mapping FX Risk across Assets or the creation of a Close-Out Risk Model.
For the FX Risk Engine project, the intern would need to develop an excellent understanding of both the theory behind FX Risk and the methods in place for mapping FX exposure and assessing risk itself, ranging from the trade recording software to the in-house processes currently in place. Then, the intern would have to draft the theory for a FX Risk Engine yielding VaR and other risk metrics for FX curves according to different methodologies, also allowing for back-tests. The intern would then present the results to the management to make a decision on the method(s) to be used. Finally, the intern would need to code the model, either creating autonomously a prototype, or yielding a production tool under the guidance of the team.
For the Asset FX Risk project, the intern would need to understand FX risk that may arise in controlled businesses, checking FX profiles throughout each asset, identifying FX risk sources. Finally, the intern would develop a theoretical framework based on a limited discrete-time information set and code a prototype for it.
For the Close-Out Risk project, the intern would need to understand the credit and counterparty risk arising from the business, with a special focus on Gas & Power markets. Then, the intern would need to create a theoretical framework defining metrics aimed at assessing the credit cost the company may face, keeping into account both deterministic business facts and stochastic price movements. The intern would ideally either create a suitable guidance for developers or code a prototype autonomously or yield a production tool under the guidance of the team.
Learning and experience opportunities
This assignment will provide you exposure to:
- Ability to source, analyze and integrate large volumes of data
- Excellent knowledge of Microsoft Excel (VBA would be a plus)
- Coding experience with either of the following: MATLAB, R, Visual Basic, Python, C, C#, C++
- Knowledge of data structures would be advantageous
- Mathematics, Financial Engineering or Computer Science degree program is preferred
- Able to work under pressure, independent and result-driven
- Excellent English skills are required