Senior Quantitative Lead Developer - C++

Responsibilities:

• Design, implement and support applications of principle component analysis for portfolio forward-risk projections, total return analysis, and VAR (C++, SQL Server).
• Design, implement and support an equity and fixed income portfolio risk application, generating various risk metrics (default, prepay risks, etc), (C++ and SQL Server).
• Design, implement and support applications for creating and updating a centralized repository of MBS and CMBS reference data and daily forward rate data from Intex/Bloomberg in relational database, enabling data mining (e.g., wrap analysis) (C++, SQL Server).
• Support and develop various components of a large-scale, real-time, matrix pricing application for structured MBS, using Intex cash flow engine and loan-level data/model (C++, SQL Server, Intex Subroutine).
• Support and develop various components of a front-office application for structured MBS and CMBS, managing trade capture, positions, risks, and PNL under one umbrella, (C++, SQL Server).

Requirements:

• BS/MS/Ph.D. in a Quantitative Science-based discipline such as Applied Mathematics, Physics, Engineering, or Computer Science with quantitative software development experience
• Advanced expertise in C++ object orientated programming
• Advanced knowledge of the structured finance markets and current knowledge of several of these instruments: RMBS, CMBS, CDO’s, CLO’s, CDX.
• Strong Database Skills are a requirement (SQL query)
• Must have experience with Intex and Bloomberg
• This role requires superior communication skills
• Must have advanced knowledge of risk analytics technology for calculations and reporting
• While the candidate may be currently working as a Quant Analyst/Programmer within a Capital Markets Trading Group or Capital Markets vendor, enthusiasm and ability to deliver solutions to a variety of software problems are critical for this role.

Keywords: C++, Quantitative Developer, Risk Analytics, Portfolio Management, RMBS, CMBS, QuantLib, Bloomberg, Intex, SQL Query

Please send resumes to Jim Geiger  jeg@analyticrecruiting.com