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C# Fixed Income Analytics Developer

Employer
Analytic Recruiting Inc.
Location
New York, USA
Salary
$175k - $225k
Closing date
Jul 7, 2023

View more

Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Responsibilities:
  • Design, implement and support applications of principle component analysis for portfolio forward-risk projections, total return analysis, and VAR (C#/C++, SQL Server).
  • Design, implement and support an MBS and CMBS portfolio risk application, generating various risk metrics (default, prepay risks, etc), (C# and SQL Server).
  • Design, implement and support applications for creating and updating a centralized repository of MBS and CMBS reference data and daily forward rate data from Intex/Bloomberg in relational database, enabling data mining (e.g., wrap analysis) (C#/C++, SQL Server).
  • Support and develop various components of a large-scale, real-time, matrix pricing application for structured MBS, using Intex cash flow engine and loan-level data/model (C++, C#, SQL Server, Intex Subroutine).
  • Support and develop various components of a front-office application for structured MBS and CMBS, managing trade capture, positions, risks, and PNL under one umbrella, (C#, SQL Server).

Requirements:
  • BS/MS/Ph.D. in a Quantitative Science-based discipline such as Applied Mathematics, Physics, Engineering, or Computer Science with quantitative software development experience
  • Advanced expertise in C++ or C# object-orientated programming
  • Advanced knowledge of the structured finance markets and current knowledge of several of these instruments: RMBS, CMBS, CDOs, CLOs, and CDX.
  • Strong Database Skills are a requirement (SQL query)
  • Must have experience with Intex and Bloomberg
  • This role requires superior communication skills
  • While the candidate may be currently working as a Quant Analyst/Programmer within a Capital Markets Trading Group or Capital Markets vendor, enthusiasm and ability to deliver solutions to a variety of software problems are critical for this role.

Keywords: C#/C++, Quantitative Developer, RMBS, CMBS, Bloomberg, Intex, SQL Query

Please send resume to Jim Geiger jeg@analyticrecruiting.com

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