MBS Risk Development, C++
BNP Paribas - New York, NY

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Essential Qualifications

  • Excellent oral and written communication skills
  • Familiarity with Fixed Income Trading, Pricing, and Risk Management concepts
  • Good knowledge of MBS products (Pools, TBAs, ARMs, CMOs) and their valuation concepts (OAS, ZVOL, Prepayments, IR Projections, Monte Carlo etc)
  • Excellent knowledge of C++
  • Experience in the full software development lifecycle
  • Proactive team player with a "can-do" attitude
  • Excellent troubleshooting and debugging skills
  • Candidates must be excellent analytical problem solvers
  • Attention to detail, thoroughness a must
  • 4 - 5 years of C++ development experience (5 - 8 years total experience).
  • At least an undergraduate degree in a numerical/engineering subject
Advantageous Qualifications

  • Experience of interest rate derivatives (Swaps, Swaptions, Exotics etc)
  • Knowledge of Intex and/or AFT/FIS prepayment model
  • Experience of .NET (C#)
  • Knowledge of databases (especially SQL Server)
  • Excel expertise
Duties and Responsibilities

  • Develop and enhance our in-house analytics libraries. Build Excel add-in functions for the desks.
  • Integration of the libraries with Market/Static data systems. Integration with global risk systems.
  • Support and maintenance of the scenario risk calculation batches
  • Troubleshoot and resolve production issues
  • Communicate status and report issues to the project leader

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