The ERMT (Enterprise Market Risk Technology) group works with its business partners in identification, measurement, aggregation and reporting of Market Risk across the firm. The Market Risk systems perform valuation, simulation, aggregation and reporting of risk metrics and models on all the major assets classes: equities, bonds, commodities, currencies and their derivatives including structured products, CMBS/RMBS, credit derivatives, and volatilities, etc.
The Risk Analytics team is responsible for the core risk analytics engines used for managing risk and calculating regulatory capital for the firm. More specifically for generating risk numbers as needed for corporate/market risk reporting, monitoring, and for regulatory reporting and capital requirement. The analytics engines frameworks allow for operational manageability and functional scalability across diverse set of trading system from risk perspective by integrating with them. The risk analytics engines include risk valuation engines for pricing a variety of security types, and risk engines for managing risk analytics that are part of the Calypso system, and risk analytics engines for two Monte Carlo risk simulation systems.
Acts in the high level technical and analytics role as an individual contributor and/or team lead for the various risk analytics processes.
Utilizes a thorough and deep understanding of available technology, tools, and existing designs.
Plans, performs, and acts as the escalation point for the large and complex platform designs, coding, and testing.
Works on complex problems where analysis of situations or data requires evaluation of intangible variance factors.
Leads multiple development, modeling, simulations, and analysis efforts.
Acts as expert technical resource to programming staff in the program development, testing, and implementation process.
Assures quality, maintainability, and extensibility for supported systems and risk applications.
Key technical resource on team building sophisticated and complex risk applications. .
5+ years experience in application development and 3+ years experience in the securities industry.
The job regularly has application development responsibilities that require: 1) working knowledge of mathematical modeling constructs substantially similar to one, or more, of the following (either as an individual contributor or in leading others): advanced mathematical concepts, such as financial engineering/advanced calculus/statistical modeling/concepts of probability; theoretical pricing characteristics, e.g., the Greeks; and/or expertise in developing technology in support of multiple, complex risk and/or pricing models which require ongoing evaluation based on market fluctuations, such as VaR, Counterparty Potential Future Exposure, stochastic modeling, derived market data and stress testing; 2) extensive experience in the capital markets business and processes, e.g., pricing of derivatives, trade lifecycle, electronic trading/algorithmic trading; and 3) working knowledge of SEC, FNRA and International Regulations in building technological solutions.
7+ years object oriented programming experience: C++ or Java.
3+ years of financial industry experiences.
5+ years of Java core application development with a thorough understanding of the language.
Expert object oriented analysis and design experience, with deep understanding of design.
Understanding of analytics, risk modeling and financial products.
Experiences with large, distributed systems.
Deep understanding of systems, computing, and Messaging.
Relation database experience with large data sets.
Experience with full lifecycle software development.
Understanding of Agile software development.
BS+ degree in Computer Science, Mathematics or related technology major.
Expert experiences in programming, computing and systems.
Solid experiences in quantitative analysis and modeling of financial products.