Risk Technology C++
Position Description
The Securitized Products Risk Calculation Technology Group develops and supports fixed income analytics applications for the various Securitized Products trading desks across the firm. The applications we develop involve a platform for computing marks, risk and other valuation metrics, as well as valuation-oriented tools for traders and desk strategists.
The applications involve a number of components: an infrastructure for n-tiered distributed computing (plus all the tools involved for development and debugging), integration of specific analytic models, a framework for running and storage of the said models, as well as a unified front-end for display and reporting. In short, the complete process of running and reporting risk in a large scale environment over a heterogeneous product set.
The successful candidate will play a key role in the design and development of the analytics platform in a highly distributed, multi-tiered environment. In addition, there will be a strong emphasis on integration of the analytic models that the various trading desks need for risk calculation purposes. This role requires communication with the traders and desk strategists as well as other core team members on a daily basis.
Skills Required
- Very strong C++ programming and problem solving skills
- Strong multi-threaded or distributed computing background
- Experience with cashflow waterfalls and collateral fundamentals; various credit, prepay, and default models
- Structured products risk platforms involving ABS, CMBS, CDO, Agency
- Pricing fixed/floating rate bonds, swaps, CDS
- String quantitative analysis skills and ability to process large amounts of data
- Must have good communication skills, able to articulate ideas clearly to traders and desk strategists
- Intex or other proprietary cashflow services
- Linux and/or Windows platform familiarity
Skills Desired
- Experience with C#, managed C++, Java, perl, Relational DB would be a plus
- DataSynapse or Platform Symphony
Skill Proficiency Senior
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