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Risk/P&L Java Developer

The position is part of a technology team within the Investment and Capital Markets Division. The team has the broad goal of developing components for a new trading platform, with priorities set by business needs.

The Risk/P&L Senior Developer will have the responsibility to design, build, test, and deploy Risk and P&L calculation and reporting components in support of all trading desks. The Risk and P&L team will leverage shared service components (e.g., analytics framework) from other teams. The current set of products traded include: mortgage loans, mortgage securities, rate derivatives, US treasuries, and debt issuance securities.

Responsibilities

  • Work with users and/or senior team members to define requirements
  • Participate in solution designs
  • Develop, and maintain high-quality software code and automated tests (including Unit, Functional, Performance, Acceptance) for risk and P&L calculation and reporting components for all I&CM trading desks (located in New York and McLean, VA) to include
    1. Risk scenarios: system will provide what-if and scenario-based calculations
    2. P&L attribution: explains root causes of P&L fluctuations
    3. Bi-temporal calculations: develop tools to record and analyze historical risk calculations
    4. EOD valuation: compute fair-value price for the firm’s portfolio of products and contracts
  • Perform detailed reviews; challenge code and test quality, efficacy and coverage
  • Promote industry-leading design practices for mission-critical applications. Requirements include:
    1. Predictable results: changes in code can be proven to be correct and bug-free
    2. Production resilience: system must be highly available with minimal downtime
    3. High performance: develop scalable calculations to maintain performance over large data sets
    4. Responsiveness: system will be near real-time
  • Collaborate with Trade Capture, Data Services, and Pricing and Analytics teams to develop an integrated, purpose-built trading platform
  • Actively seek opportunities to continuously improve technical quality of the trading platform to support short-term market-driven changes as well as long-term strategic roadmap changes
  • Clearly craft and articulate messages (both written and verbal) to a variety of audiences

Qualifications

  • 10yrs+ experience developing software solutions through full lifecycle
  • 5yrs+ experience and expert understanding of OOP and OOD concepts
  • 5yrs+ experience and expert level programming skills in Java, C++ or similar
  • 5yrs+ experience in database and/or UI development
  • Experience in grid computing and/or low latency transactional systems
  • BSc in Computer Science or similar

Preferred Skills

  • Advanced degree in Computer Science or related field
  • Knowledge of Fixed Income and/or Finance Analytics

 

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