Fixed Income/Structured Finance C++ Developer
The Markit Structured Finance Technology team produces software products and supporting systems designed to assist structured finance market participants in modeling, valuing and analyzing complex structured products, including but not limited to all types of mortgage and asset backed cash securities and associated credit derivatives and related indexes.
The business breaks down into four primary, overlapping concerns:
1 - Sourcing and managing large volumes of deal, tranche, collateral, and loan data, from inception through monthly updates, including parsing, cleansing, loading, aggregation and presentation of the data according to myriad customer-friendly (and often customer-defined) views, reports and download feeds.
Modeling waterfall structures that distribute collateral cashflows among tranches according to the rules defined in the deal definitions, including efficient, distributed computation of cashflows and cashflow metrics for all types of cash and derivative transactions in the structured product space, and according to complex benchmark and/or customer-supplied scenarios involving rate, volatility, home price, and related market projections, together with assumptions regarding borrower-specific behaviors such as prepayment, delinquency, and default.
2- Pricing and valuation services that span the spectrum, from contributed prices that are consolidated and represented to contributors/customers, to highly domain specific and innovative algorithms that approximate the relative value and risk of trades in reference to benchmark bases.
3- Presenting and managing user interactions with the system and software, including both ASP and locally installed user groups, and ensuring that business logic, workflow, stability, performance, and perhaps most importantly user-defined data integrity, are not compromised.
4- Security and entitlement are key themes that cut across all aspects of the system, especially as each customer’s needs are different, so that both the system look-and-feel and the sellable feature sets must be tailored specifically to the customer.As part of its Structured Finance data and services mandate, Markit Structured Finance Technology team owns and maintains the structured bond cash flow generation engine at the firm. This critical piece of software needs dedicated support and enhancement on an ongoing basis.
Base compensation will be a function of knowledge, experience, and demonstrated skills. Incentive compensation will be centered around delivery of customer value as a team, and modified by company performance and individual contribution.
Work within an elite team of professional developers to produce high quality, efficient, client-facing software systems designed to deliver highest customer value with lowest developer effort investment. Higher customer value directly translates into greater sales revenue in a highly competitive business. Lower developer investment directly translates into reduced cost of ownership and maintenance, as well as increased value-added leverage as the systems evolve. In addition to delivering polished software services, responsibilities include liaising closely with business, analyst and sales forces to ensure that the Markit Structured Finance Technology team builds the correct system, as well as cooperating closely within the development team to ensure that the system is built correctly.
Duties and Accountabilities:
Specifically, the candidate will be responsible for:
Enhance, maintain, and support the Markit Structured Finance cash flow engine, as part of the larger development team. The team operates on a monthly release cycle, practicing our evolving interpretation of agile, iterative development. At any given time, there are at least eight major, revenue producing and partially overlapping, business oriented projects in process. To handle the complexity and remain agile, the team is adding automated acceptance and unit testing throughout the process, but first and foremost for new development threads. The team is very aggressive and innovative in pursuing solutions that lead directly and observably to revenue, while reducing wherever possible the effort necessary to institute and maintain the systems (automation is a key theme, although the computers still seem to get too much time off). Efficiency in this context can be defined as the ratio of (customer value delivered) to (developer effort expended). This leverage ratio is front and center in planning and prioritizing development focus. The team prefers working smart, but works hard when necessary to meet a deadline.
Skills and Experience:
The primary delivery platform for Markit Structured Finance offerings is currently in browser-fronted, services-based ASP style, with Java as the intermediary server side language. However, the cash flow engine is written in C/C++, and is integrated into the services via a JNA wrapper. The engine is also sold separately, via a C API, to a host of customers who integrate it directly into their systems. The engine code base is relatively old in software years, and thus uses idioms that were state of the art in the past, but are considered somewhat dated in today’s terms. Nonetheless, it is a thoroughly built and tested engine and associated API that requires deep understanding and great care to enhance and maintain – it is not for the faint of heart.
Knowledge of structured products is required, and understanding of related derivatives is a big plus. General fixed income and derivative knowledge is helpful. Most important is a desire to understand and learn the business, as it is a key feature of Markit Structured Finance philosophy that developers learn the business as far as possible in order to facilitate delivery of quality software and services tuned to the business domain.
Sample keywords of interest (not an exhaustive list by any means): coupon, cashflow, interest, principal, yield, price, duration, convexity, OAS, mortgage, loan, ARM, tranche, bond, floater, deal, collateral, waterfall, portfolio, swap, option, future, put, call, CMO, ABS, CMBS, CDO, CDS, ABX, CMBX.
This position is at the Vice President level.
All candidates must have a valid work permit/visa for permanent work in the US. We kindly and respectfully request agencies not to submit applications. Unfortunately, due to volume, we will not be able to contact unsuccessful applicants. We are committed to being an equal opportunity employer.
Please apply with CV and covering letter to careers@markit.com citing "Fixed Income C++ SF Developer – New York" in your email.