Main Duties
Should be part of the Securitized Products Risk team to re-architect the risk processes, create automated processes to risk securities, develop database tables to hold the risk measures and automate report creation. The work would entail working with Trading desk and GFRM to define the assumptions and risk measures. Would be expected to do the following:
- Design and develop new processes to risk all cash products using existing analytic infrastructure.
- Database work to manage all the risk measures by desk and product.
- Testing and matching numbers to the existing system.
- Investigation and understanding analytical calculations and improving upon the methods.
Person Requirements
Person Requirements
3+ years of C++
Unix and Linux OS
Scripting - Perl and Shell
Knowledgeable about XML Schemas
Knowledgeable about relational databases
Strong knowledge of Mortgage Analytics (such as OAS, Partial Duration and prepayments)
Good communication skills and ability to work with others
Should be detail oriented and thorough with all aspects of implementation and testing.
