job summary: Summary:
- Focus on developing new methodologies to calculate VaR and enhancing the existing functionality.
- Work on the proprietary hybrid approach to calculating VaR which involves both the historical and the parametric models.
location: Jersey City, New Jersey
job type: Contract
salary: $58 - 68 per hour
work hours: 8am to 5pm
- Work with a team of software developers focused on implementing Risk Calculation Models and a reporting framework and should be able to fit into Agile team.
- Interface with Risk Managers/Business Analysist and Middle office business users to gather requirements for enhancements and new features in the system.
- Coordinate the software development and testing efforts (SDLC cycle) including release and post release support as required.
- Perform risk methodology enhancements and infrastructural enhancements.
- Develop frameworks for calculating Risk Metrics and for porting the system from a legacy Java platform to a strategic firm-wide platform in Python.
- Utilize the following tools and technologies: Java, Python, SQL Querying, Oracle/Netezza/Sailfish, Sybase, Shell Scripting and Linux
- Masters degree in Engineering or related field
- Minimal Experience Required (# of years of experience) including field and industry
- Over 10+ years of IT experience in developing enterprise level applications with Object Oriented Analysis and Design concepts including several years in financial domain applications (Market Risk, Equities, Options, Fixed-Income, Prime Services, Securities Lending etc.)
skills: Desired Skills
- Experience with risk calculations and models used in market risk.
- Experience with implementing highly concurrent systems using the Java concurrency framework.
- Knowledge of how different financial products and their derivatives work, along with their pricing.
- Minimal Education and field of study required for the position
Equal Opportunity Employer: Race, Color, Religion, Sex, Sexual Orientation, Gender Identity, National Origin, Age, Genetic Information, Disability, Protected Veteran Status, or any other legally protected group status.