Type: Full Time
and maintain applications used for calculating risk for the MBS (Mortgage Backed Securities) trading desks.
and develop calculators for RMBS cash and derivative products.
be able to understand a pricing model and automate it using C++/Java.
closely with modelers, Functional Analysts and other Risk Managers.
L1/L2 support staff.
is a front office role and some interaction with the business should be expected.
technical skills: Core Java, C++, Oracle, Shell Scripts, Linux/UNIX, SQL, XML
technical skills: Experience with LISP and functional programming (especially Clojure), Perl
experience with upgrading Linux OS and gcc will be very valuable.
Fixed Income and MBS knowledge, familiarity with basic MBS instruments, familiarity with OAS and Pay Up models
non-technical skills: Good communication, Self Starter, Collaboration
to learn a new programming language
non-technical skills: Front office development experience,
of working with teams in different geographical areas and in different time zones.
of Science Degree from an accredited college or university with a concentration in Computer Science or Software Engineering (or equivalent) with a minor in Finance, Mathematics or Engineering