Title: Fixed Income Analytics and Support Engineer
Location: NYC, NY
Interview: Video OnsiteDuration: Long Term
Visa: Any
Inputs from Hiring Manager:

• Fixed Income Division
• Structured Products exp. MBS, Commercial and Residential loans
• Mostly a development role, with some support as needed
• Must have strong experience with Market Risk side of Fixed Income products
• Fixed Income Analytics exp.
• VaR (Value at Risk) for Fixed Income products
• Calculate VaR, assign and compute Risk
• Must have Python and SQL, SSIS.
• Batch processing. Identify problems after market closes
• Vendor products PolyPath or Bloomberg desired to compute risk

Qualifications:

• 5 years hands-on developer experience in quantitative finance, especially in Fixed Income products.
• 5 years proficiency in market risk measures such as VaR and stress testing scenarios across traded products.
• 5 years of experience with sensitivities calculation and position valuation for fixed income products.
• 7 years of programming skills in Python, SQL, and SSIS are required.
• 2 years of experience with batch processing, and incident root cause analysis is necessary.
• 1 year of experience with structured products and using PolyPaths and Bloomberg Analytics is desired