- 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
Duties and Responsibilities
- 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
- 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