• Address: New York, NY 10008 (map)
• Date Posted: 11/07/09
• Job Type: Full-time

Company Axelon Services Corp
Position Title MBS C++ Developer
Job Code 2891269
Job Location New York, NY -
Description



Global Investment Bank located in New York City has an immediate full time opportunity for an experienced MBS C++ Developer.


Summary

We are currently seeking a talented Risk Development individual with good knowledge of C++ programming and excellent communication skills. In this role the successful candidate will join the Rates/MBS Risk development team responsible for the development of the systems and infrastructure that calculate and present risk metrics to the business. The candidate will be heavily involved with the MBS risk reengineering (in collaboration with quant research and London risk teams) project. This will involve development of MBS Analytics and their integration into the global risk platform.

The ideal candidate will have good skills in C++ and have experience in the development MBS risk systems. Good understanding of Fixed Income products, especially MBS, is essential. They will be a team player capable of working with immediate team members, Front Office IT support groups, quantitative research and trading groups.


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

Qualifications 4 5 years of C++ development experience

At least an undergraduate degree in a numerical/engineering subject

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 life cycle

Proactive team player with a can-do attitude

Excellent troubleshooting and debugging skills

Candidates must be excellent analytical problem solvers

Excellent oral and written communication skills

Attention to detail, thoroughness a must


Preferred 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

Desired Skills:


Non-Tech Skills:



Start Date: ASAP
Emp. Type: Contract-to-Hire
# of Openings: 1
Location: New York, NY -
Overtime Pay: None
Job Number: 35810738 : JS09-08991
Date Posted: 11/5/2009

Axelon Services Corp

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116 John Street

Suite 1406

New York, NY 10038
Email: Send an email to Axelon.Services.4BB5D.139E5@mail.jobserve.com