Senior Quantitative Lead Risk Developer C++, C#

Responsibilities:

·         Design, implement and support applications of principle component analysis for portfolio forward-risk projections, total return analysis, and VAR (C++, SQL Server).

·         Build a service layer so that the firm's legacy C# applications can interact with the firm's Risk Management systems.

·         Build C#/Web applications to replace the firm's dated COM/Excel integrations.

·         Design, implement and support equity and fixed income portfolio risk applications, 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, CDOs, CLO’s, and 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++, C#, Quantitative Developer, Risk Analytics, Portfolio Management, RMBS, CMBS, QuantLib, Bloomberg, Intex, SQL Query

Please send resume to Jim Geiger jeg@analyticrecruiting.com