Capital Markets Application Systems Engineer in Charlotte, NC at Open Systems Technologies

Date Posted: 1/8/2020

Job Snapshot

Job Description

Salary: 140k + 15% bonus target

Role description

This position is for a Java software developer concentrating on the pricing model aspects in the pricing model components described in the software stack below.

Area of Job Within the Company

The role is within the Quantitative Analytics team of the broader Capital Markets Risk Technology (CMRT) group. CMRT works with its business partners to identify, measure, aggregate and report firm-wide market risk. The Quantitative Analytics team is specifically responsible for building, enhancing, and maintaining the core risk analytics used for calculation of firm-wide market risk.

Software Stack

The core risk analytics software built and maintained by this group utilizes core Java, SQL Server, Autosys, IBM Platform Symphony, and Coherence and consists of the following:

• A framework to integrate pricing models for valuing a broad spectrum of assets (equities, fixed income, commodities, foreign exchange, structured products) and their associated derivatives.

• Models to perform the valuations - Some models are built in-house, some are integrated 3rd party libraries, and some are integrated as calls to trading/valuation systems.

• Stress scenarios and stress testing framework to support internal stress testing and Comprehensive Capital Analysis and Review (CCAR).

• Historical simulation engine to calculate Greeks, sensitivities, and simulated P&L vectors

• A high performance distributed computation grid and in-memory cache

Candidates applying for this position should be prepared to work in this software environment with the following expectations:

• Perform in the high level technical and analytics role as an individual contributor developing software for the various risk analytics processes

• Work directly with business analysts, Market Risk Officers, and Quantitative Risk Analytics group (Quants) to understand requirements

• Read and understand business specifications and create functional specifications from them

• Create thorough designs - taking care to assure that designs integrate well into existing architecture

• Write high quality code in the Java language using object oriented principals and design patterns as appropriate

• Create/modify SQL Server database objects (tables, views, stored procedures, etc) as needed

• Perform high quality thorough unit testing and documentation of development activities

• Work on complex problems where analysis of situations and/or data requires a solid grasp of both computing and business/risk domains

• Work with large data sets requiring extreme attention to computational efficiency, parallelism, and scalability

• Assure quality, maintainability, and extensibility for supported systems and risk applications

Required Qualifications

7+ years of Java experience

7+ years of development and implementation experience with applications, databases, or a combination

5+ years of Object Oriented experience

5+ years of SQL experience

A BS/BA degree or higher

3+ year of securities industry experience

Desired Qualifications

Knowledge and understanding of derivative products: risk and valuation methodologies

Knowledge and understanding of technology platform development including large scale technology initiatives

Knowledge and understanding of risk management or quantitative modeling

Knowledge and understanding of risk measures and calculations ( dv01, delta, gamma, etc)

Knowledge and understanding of technology development: support of complex risk and pricing models

Knowledge and understanding of technology object oriented: analysis and design

Knowledge and understanding of application lifecycle, from design and development to testing, implementation

Knowledge and understanding of technology architecture: distributed and client server technologies

Knowledge and understanding of technology object oriented: design patterns and their application

Autosys experience

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