Job Seekers, Please send resumes to firstname.lastname@example.org
- Core Java 1.5 and above
- Spring - JUnit
- SQL (sybase)
- Perl/Python/Shell scripting
- Excellent Communication Skills
- Derivatives Risk Management or Pricing
- Experience or familiarity with distributed systems (e.g. DataSynapse, Platform Symphony, Gemfire, etc)
The Equity Risk and Scenarios team is a core Risk Management team for Equities and Equity Derivatives responsible for calculating, aggregating and presenting end of day and overnight risk for the Equities front office. The calculations are performed for all regions running 24/5. These calculation include various Scenarios, P&L Attribution/P&L Explain, and bucketed Greeks that are too compute intensive for real-time risk, as well as Mark Review analysis. The positions that flow through this infrastructure range from exotic Equity derivatives to vanilla Equity option, Equity Swap and stock positions, covering more than 600,000 positions globally. Results from these calculations, which are mission critical to the firm, are delivered on a stringent schedule to very senior traders and risk managers to be used for trading decisions in each location and to manage risk globally.
This is a very technical team, where self motivation and technical skills are highly prized. The team has successfully introduced innovative approaches to both calculating results as well as collecting and reporting them, which involves technologies such as Antlr, DataSynapse, and KDb. As part or its delivery and as one of the venues for delivery of results, the Scenarios system also interacts with intraday and end of day infrastructure so that everyone is exposed to all aspects of risk management in Equities. Going forward, the system has a great many more measures to calculate in order to provide a fuller view of risk to the business as well as improve efficiencies in order to lower compute costs as more exotic instruments are added and the overall number of positions grows. The team will also be working on introducing new firm-standard technologies into the infrastructure in line with several firm initiatives.