Core Java / KDB Developer for Scenarios/GRS

Profile

Position Category:
Information Technology
Position Title:
Core Java / KDB Developer for Scenarios/GRS
Job Level:
Associate
Location:
USA - NY - New York
Education Required:
Bachelors Degree
Position Description:
The Scenarios/GRS team is a core Risk Management team for Equity Derivatives responsible for calculating, aggregating and presenting end of day and overnight risk for the Equities front office. The calculations are performed for all regions running 24/5. These calculation include various Scenarios, P&L Attribution/P&theL 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 600,000 positions globally. Results from these calculations, which are mission critical to the firm, are delivered on a stringent schedule as 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, technical skills and strong interest in design and technology are highly prized. The system that the team owns and continues to build is distributed using DataSynapse with 3,800 compute nodes 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 technologies such as Antlr, DataSynapse, and KDb. As part or 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 and complex scenarios 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 will also be looking at new technologies that are part of the Pioneer initiative within Morgan Stanley that seeks tighter integration.
Skills Required:
- Core Java 1.5 and above
- KDb
- Spring
- JUnit
- SQL (sybase)
- Perl/Python/Shell scripting
- Linux
- Excellent Communication Skills
Skills Desired:
- Derivatives Risk Management or Pricing
- Experience or familiarity with distributed systems (e.g. DataSynapse, Platform Symphony, Gemfire, etc)
Morgan Stanley

Company info

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