Ref No.: 17-00182
Location: NYC, New York
Second Position : 5 positions .

NYC


Responsibilities include:
  • Determine and create the valuation and risk management models that will feed the Firm's books and records for the bank's originated mortgages;
  • Monitor and analyze the effectiveness of current valuation and risk models, and make enhancements as needed;
  • Collaborate with portfolio managers to analyze and advise on managing the risk of the positions currently on the bank's balance sheet as well as future growth;
  • Ensure compliance with regulatory norms.

Skill required:
  • Masters degree in Computational Finance or Mathematical Finance. Ph.D. degree in Finance, Economics, Mathematics, Engineering or other computational sciences is strongly preferred.
  • Strong hands-on technology skills are a core requirement (e.g. C++, Java, Q and Perl programming, and statistical packages such as SAS, R, and Matlab).
  • Strong communication & collaboration skills are required.
  • Experience in building end-to-end loan-level non-agency or pool-level agency prepayment and default models is extremely desirable.
  1. Software developer
The candidate will work with the modelers and the firm's IT/Database team on risk analytics and reporting
Responsibilities include:
  • Develop, enhance and support the core grid computing and related infrastructure that Strat models rely on.
  • Develop the client-server based front end GUI applications that allow business to explore ad hoc scenarios and specific trades based on our models
  • The integration of EOD risks into the Firm's Risk cube
  • Architecture design for model integration into risk systems
  • Interact with Firm's IT/Database department to resolve all Data, files, auto batch job, permission issues that enhance the team's development environment.

Skill Required
  • Enterprise project experience working on cross-functional teams.
  • Solid in C++ and C# programming languages, Perl or Python scripting languages. Familiarity with Linux, WPF/XAML and Java is a plus.
  • Solid in Database SQL.