Graduation Assignment Academic Excellence Program

In the world of investment management, macro-economic data releases are among the most important drivers of foreign exchange markets. Events such as inflation reports, employment data, and central bank decisions can trigger sharp moves in currency prices, often within seconds of publication. For traders on the FX desk, these announcements are not only sources of risk but also of opportunity, as volatility can create both challenges and trading possibilities. By understanding and anticipating the impact of macro events, traders can better manage exposures, optimize timing, and improve decision-making. In a market where liquidity can shift rapidly around key releases, accurate estimation of expected volatility can enhance both risk management and trading performance. 

Research assignment 

For Dutch investment managers serving pension funds, managing FX exposures is a critical part of portfolio management. While much attention is given to hedging structural currency risks, short-term fluctuations driven by macro-economic announcements also play a significant role in day-to-day trading. Key events such as U.S. Non-Farm Payrolls (NFP), Consumer Price Index (CPI) releases, JOLTS data, and central bank meetings are known to cause sudden spikes in volatility and abnormal returns in FX spot markets. 

This research assignment focuses on quantifying and estimating the impact of major macro-economic announcements on FX. The study has two main components. First, to measure abnormal volatility around such events and compare pre- and post-announcement behavior across major currency pairs across G10. Second, to estimate expected volatility for upcoming events by relating the size of data surprises—defined as the difference between the released value and the median forecast—to the magnitude of FX moves observed in the past. This can help derive a mapping between surprises and implied moves, enabling traders to better anticipate market reactions. 

For traders and portfolio managers, incorporating this information into trading decisions is critical. A clearer understanding of how macro releases translate into FX volatility can support better positioning, hedging strategies, and liquidity planning. The student has the flexibility to choose which aspect of this quantification and estimation problem to emphasize, whether it be the measurement of volatility spikes, cross-currency comparisons, or predictive modeling of event-driven volatility. 

Data 

For this project detailed FX spot and macro-event data are available. Bloomberg terminal & API will also be available. 

AXP 

This assignment is part of the unique Academic Excellence Program (AXP). This program is a cooperation between MN, PGB and PGGM, three leading Dutch pension fund service providers. Students will get the opportunity to work alongside investment professionals, collaborate with other students and learn about institutional investing. On regular AXP-days all students in the program will come together in The Hague, Amstelveen or Zeist to share ideas, learn from each other, attend presentations from investment teams and discuss job opportunities. 

This internship should be scheduled within the first half year of 2026. For this assignment the main location will be PGGM in Zeist where you will be part of the Trading team. You are expected to be in the office about 50% of your time.

For these assignments we are looking for ambitious students with:

• Quantitative background (eg. Econometrics, Mathematics, Financial Engineering, etc.).
• Programming skills in Python.

Are you looking for a challenging graduation internship to develop yourself? Do you want to work in one of the best working environments in the Netherlands? Then we invite you to join our motivated enthusiastic team.

As an intern at PGGM you will receive:

• Travel allowance.
• A monthly internship allowance.
• The opportunity to gain work experience and develop your skills.
• A great team made up of the best professionals in the business!

To apply you can send your CV (including marks) and motivation letter.

If you have any questions, please contact Meryem el Ajjouri, Campus Recruiter (+316 51064717 or meryem.el.ajjouri@pggm.nl).