Fixed Income Risk C# Apps Developer 9/3/2016

Major Investment Firm New York, NY

Company
Major Investment Firm
Job Classification
Full Time
Company Ref #
29545847
AJE Ref #
576087574
Location
New York, NY
Job Type
Regular

JOB DESCRIPTION

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This role is a hybrid between the Risk/Analytics group and our general C# applications programming group. This role is the third dev in the Risk/Analytics Dev team and will be working alongside four C# developers on the Apps Dev team.

Responsibilities include:

* Support the daily flows in and out of the RiskSystem

* Fix any discrepancies in the Risk System Indicative data vis--vis the Security Master and the Trade/Portfolio management system
* Ensure Yield and analytic calculations are in agreement with secondary system and fix any issues
* Ensure timeliness of risk, pnl, attribution and scenario reports and availability of the underlying data in the Data Warehouse for reporting needs
* Automate processes and procedures to reduce the need for manual intervention
* Assist the Traders/PMs/Operations/Lead Quant Dev in understanding and explaining the numbers related but not limited to Risk exposures, PnL, Positions etc.

* Work on Apps Dev web and desktop projects in C# and support VBA based Excel Add-in for the Risk system
* Be on call for emergency support issues 24/6 (incidents requiring escalation are rare)

This person works closely with the Co-CTO and the Sr. Risk Dev to deliver applications, reports, and various other data using a proprietary analytics system. Front-ends for web apps will typically be delegated to offshore dev team.

The person in this role should have an understanding of all fixed income, credit derivative, and asset-backed asset classes. This person has an established track record of working independently and as part of a team. This person must be able to communicate with business users on matters regarding investment analysis, risk management strategies, analytics strategies, and investment performance at a portfolio or position level.

The technical knowledge and skills required for this position include:

* Microsoft C# required
* Microsoft SQL Server Database Programming

Recommended:

* Bloomberg Server API and Data License
* Microsoft Excel VBA Programming

The types of business knowledge and experience helpful for this position include:

* Fixed and floating rate cash flow and yield analysis
* Portfolio analysis, including hedging strategies, horizon analysis, volatility, and return analysis
* P&L analysis across and within portfolios, and for position, lot-level, and transaction holdings
* PIK analysis, asset backed security analysis, and fixed-to-floating analysis
* Asset mix analysis, perform risk and rate sensitivities (dV1, dVdF, option gamma, etc)

TOOLS USED:

Visual Studio 213 C#

Excel / VBA / COM

SQL Server 28 R2

XUnit Test Frameworks (nUnit, cppUnit)

Git Source Control

Powershell