Sr. Quantitative Risk Lead Developer C++, C#

at Analytic Recruiting Inc.
Published November 29, 2022
Location New York, NY
Category Default  
Job Type Full-time  

Description

A prestigious, well-established NY-based Hedge Fund is seeking a quantitative C++/C# programmer to lead a small team that is developing the firm's next-generation portfolio management and risk analytics platform for debt, equity, and real estate investments. The candidate will be responsible for the legacy portfolio management platform and the new platform.

The role will work closely with the firm’s Portfolio Managers, Senior Traders, Quantitative Researchers, and Risk Managers to design, develop, implement, and support applications and tools for market data downloads, data analysis, quantitative model implementation, and reporting.

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 [Click Here to Email Your Resumé]