Sr Core Java Developer

Sr Core Java Developer

New York

Experience Level-5-10 years



Looking for developer to join the Equity Derivatives team.​ This team is responsible for calculating overnight risk for the front office, including: traders, risk managers and Strats.​ These calculations are performed for all regions running 24/​5.​ The calculation include various Scenarios, PnL Attribution/​PnL Explain, and bucketed Greeks that are too compute intensive for real-time risk, as well as Mark Review analysis.​ The positions that flow through this infrastructure range from exotic Equity derivatives to vanilla Equity options, Equity Swaps and plain stocks, covering more than 500,000 positions globally.​ These results, which are mission critical to the firm, are delivered on a stringent schedule as very senior traders and risk managers use them for trading decisions in each location and to manage risk globally.​

This is a very technical team, where self motivation and technical skills are highly prized.​ The system that the team owns and continues to build is a widely distributed one with well over over 3,800 cores utilized to perform the calculations.​ The team has successfully introduced innovative approaches to both calculating results as well as collecting and reporting them, which involved new technologies such as Antlr, DataSynapse, and KDb.​ As part of its delivery and as one of the venues for delivery of results, the Scenarios system also interacts with intraday and end of day infrastructure so that everyone is exposed to all aspects of risk management in Equities.​ Going forward, the system has a great many more measures to calculate in order to provide a fuller view of risk to the business as well as improve efficiencies in order to lower compute costs as more exotic instruments are added and the overall number of positions grows.​ The team is also working on enhancing the main infrastructure to cover more applications that the group supports, to reduce the cost of supporting multiple infrastructures.​



Skills Required

Core Java 1.​5 and above
Multithreading
Spring
JUnit
SQL (sybase)
Perl/​Python/​Shell scripting
Linux
Excellent Communication Skills
Experience in complete dev cycle



Skills Desired

KDb
Derivatives Risk Management or Pricing
Experience or familiarity with distributed systems (e.​g.​ DataSynapse, Platform Symphony, Gemfire, etc)