Senior Java Quant Developer/Risk and Valuation Applications

Financial Services client seeks a Senior Java Quant Developer to enhance, develop and support Risk and Valuation/Pricing models applications. Working with the Risk and Valuation business and technical teams, the candidate will provide skilled computer science expertise in software development to enhance the current set of Java backend quantitative applications, and build a new generation of tools that will be used to price all OTC instruments under administration as well as compute sensitivities and risk measurements.

 

Products include vanilla as well as exotic derivative products (IR swaps, FX options, swaptions, CDS, variance/volatility swaps, forwards, convertibles, FRN, baskets, etc). The candidate is expected to have a strong knowledge of fixed income analytics, quantitative techniques, valuation models, risk models like VaR, historical simulation, sensitivities, stress testing, etc.

 

The role involves the entire development life cycle, from design through development, implementation, unit testing, user training and support, and will involve the writing of Business Requirements in consultation with users. You will need a proactive approach to work and problem solving.

 

Technologies to employ will include Java, C++, Sybase, Oracle, T/SQL including stored procedures and triggers, Solaris, FinCad, J2EE, JMS, JDBC

 

 

    A.  Technical Expectations/Professional Practices:

 Leadership/People motivation skills:At least 5 years experience playing development lead role in small to midsize projects.Excellent communication skills and strong personality. Ability to motivate people.Experience with various development methodologies. Understanding of project planning and implementation.Risk and issue mitigation skills. Java/XMLStrong Java server-side enterprise development experience Strong Object Oriented Design (UML experience a plus) Experience developing projects using RUPExtensive use of JDBC and JDK 1.4.X Knowledge of JDK 1.5XML experienceJ2EE and Web Services a plusExperience working with web-app and J2EE applications in WebSphere Application ServerExperience with development of thin client interfaces using JSP, Servlets, and HTML within structured frameworks (e.g. struts, JavaServer faces)RDBMS:Highly proficient in Sybase 12.5 SQL DML and DDL.Good Experience with Oracle RDDMS 8i, 9, or 10gExperience in database schema designExperience optimizing SQL queriesLarge database design and programmingUNIX:Experience with Sun Solaris 9Shell scriptingExperience with Autosys a plusFinancial:A numerate background (good BSc or Msc)Good knowledge of Fixed Income products and how the markets operate. Experience with Fixed Income, Credit Derivatives, Hedge Funds, OTC instruments, Yield Curves, Credit Spreads, Pricing Models.Experience building Risk Analytics systems including Historical Simulation, VaR, sensitivities, option pricing and stress testing.Experience with Fincad a plusExperience with large scale financial transaction processing systemsExperience with Asset/Investment Management systems including front office and back office accounting systems

MS Degree in Computer Science or equivalent in related training and experience.