Software Engineer- JAVA

Top Skills

• High emphasis that this person is a hands-on programmer
• 5+ years of Java programming
• 2+ years of SQL programming

Preferred skills

• Autosys
• CCAR
• IBM Platform Symphony
• Agile 
• The banking industry is helpful. 

Job Summary:
This position is for a Java software developer concentrating on the risk simulation aspects in the market risk calculation described in the software stack below.

Area of Job Within the Company
The role is within the risk simulation team of the broader Capital Markets Risk Technology (CMRT) group. CMRT works with its business partners to identify, measure, aggregate, and report firm-wide market risk. The risk simulation team is specifically responsible for calculating VaR (Value at Risk) and stress PNL for the client’s investment portfolio.

Software Stack
The core risk simulation software built and maintained by this group utilizes core Java, SQL Server, Autosys, IBM Platform Symphony, and Coherence and consists of the following:
• Models to perform the valuations—Some models are built in-house, some are integrated 3rd party libraries, and some are integrated as calls to trading/valuation systems.
• Stress scenarios and stress testing framework to support internal stress testing and Comprehensive Capital Analysis and Review (CCAR).
• Risk simulation engine to calculate Greeks, sensitivities, and simulated P&L vectors
• A high-performance distributed computation grid and in-memory cache

Candidates applying for this position should be prepared to work in this software environment with the following expectations:

• Perform in the high-level technical and analytics role as an individual contributor developing software for the various risk calculation processes
• Work directly with business analysts, Market Risk Officers, and the quantitative risk analytics group (Quants) to understand requirements
• Read and understand business specifications and create functional specifications from them
• Create thorough designs—taking care to assure that designs integrate well into existing architecture
• Write high-quality code in the Java language using object-oriented principles and design patterns as appropriate
• Create/modify SQL Server database objects (tables, views, stored procedures, etc) as needed
• Perform high-quality, thorough unit testing and documentation of development activities
• Work on complex problems where analysis of situations and/or data requires a solid grasp of both computing and business/risk domains
• Work with large data sets requiring extreme attention to computational efficiency, parallelism, and scalability
• Assure quality, maintainability, and extensibility for supported systems and risk applications.
• Work as a team engineer in an Agile team. Need to attend daily scrum meetings and sprint planning sessions.