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Job Details

Risk Developer

London, Greater London, United Kingdom, Contract

Posted: 20days ago

Description:

Risk developer

Location: London

Contract

Key objectives critical to success:

A developer is required to participate in a long term project (approximately 2 years) to replace a legacy stress testing application. The successful candidate will work closely with the business stress testing group, analysts and other developers to add stress testing functionality to the main market risk system so that the legacy system can be retired. The development team is spread across London, NY, Shanghai and Mumbai. The new stress testing system is written mainly in Java (with some Python) and uses cutting edge technology such as Apache Spark and ActivePivot. The successful candidate should also have excellent business knowledge (including numerical analysis) as they will be responsible for investigating and explaining differences in results between the legacy and new systems.

Skills, qualifications and knowledge required:

Minimum qualifications:

  • Market risk experience gained in an investment bank, hedge fund or similar financial institution.
  • Experience of full software lifecycle
  • Excellent communication skills (both written and spoken)
  • Able to work with business and technical staff to both define and resolve problems
  • Able to manage priorities and work independently

Required technical skills

  • Java 8
  • T-SQL
  • Financial maths - Greeks, VaR, scenarios/stress testing, PnL attribution, product knowledge, Pricing
  • Linux and Windows
  • One or more of ActivePivot, Spark or Python
  • Financial maths - Greeks, scenarios, PnL attribution, product knowledge, pricing
  • DI framework (Spring or similar)
  • Automated testing and continous integration (e.g. Jenkins/Hudson)
  • Unit testing and mocking tools

Desirable technical skills

  • Grid/Farm/Distributed computing
  • Gemfire
  • ActivePivot
  • Spark
  • Python
  • Autosys

Job Details

1143816427
London, Greater London, United Kingdom
Contract