· 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).
· 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 firstname.lastname@example.org