Full Job DescriptionDepartment
TR-Analytics and technology
Job posted on
Oct 17, 2021
Employment type
Permanent
Experience range
6 years – 9 years
Job Duty
We are looking for a talented and experienced developer who is technically passionate, solution-focused and able to design, develop, test and maintain high-quality software. You will be working with one of our client – top tier investment bank to develop and manage their Fundamental Review of Trading Book (FRTB) program, this will follow the Internal Models Approach (IMA) as a core risk model methodology.
As a Senior C# Developer, you will:
Understand the requirements; designing, developing and delivering robust, high performance and scalable software solutionsTo integrate enhanced risk models on the risk and trading systems.To Implement FRTB risk models – Internal Model Approach, Default Risk Charge and Expected Short FallTo align PnL between trading and risk – Receive and projection of RMS (Risk Management System) PnL and Incorporation of FX calculation and source Tarsan trades.To work on end of day closing and process workflow and close when products have EOD prices.To work on Front Office data alignment to reduce FOFO breaks – Sourcing Equity prices and Equity option alignment from RMS evaluated pricesTo work on enhancements of Loan IQ and Trading FRTB SystemsDesign and develop various database queries, scripts and tables to pull, clean, arrange and persist risk management dataOwn delivery and take responsibility of milestones
Have a BDD approach ( Cucumber), as well as design and develop automated unit, integration, and regression tests
Skill Specification:
Preferable cloud skills are important, includes how to build cloud native applications -mix of cloud and even how it works with on-prem.Extensive experience in Teamcity for build, development and deploymentExtensive database experience (Microsoft SQL Server, Oracle)Extensive server-side experience in Java, C#, WCF, .NET 4.0/4.5Experience on participating in end-to-end development lifecycle in a rigorous test driven software development environmentExperience of delivering solutions in an Agile (SCRUM/Kanban) DevOps environment.ssssPlus: experience in the understanding of financial instruments, FRTB and Fixed Income products.Problem solving skills and ability to think algorithmically