Senior .Net Developer with knowledge of financial instruments

About the client: Our client is a UK subsidiary of a global financial house working in multiple markets and asset classes.

About the project: We are currently looking to expand our team developing and supporting a variety of projects and services to a new area. The new project is an ongoing development of a Market Financial Risk Analytics system that receives information from different sources, including vendor solutions for capital markets such as Murex.

The Risk Technology team is responsible for designing, integrating and supporting Middle Office Risk systems in the organisation . The team supports both Market and Credit Risk management across EMEA, Noth America and Asia Pacific regions and is primarily focused on the production of various simulation based measures used in managing risk and calculating economic capital.

The third party Markit Financial Risk Analytics (FRA) simulation and pricing engine provides cross-asset coverage to calculate various market and counterparty credit risk measures. An in house .NET based application layer integrates the FRA into BANK proprietary systems.

As a technology team we are embedded within the wider EMEA Markets Engineering team working closely with other like minded teams focused on building simulation based pricing systems for Middle and Front office. We also partner closely with quant teams in middle and front office.

The core technologies utilised within the team include C# .NET and Microsoft SQL Server running on Windows however we are now increasingly moving towards C# .NET Core and Python running on Linux operating systems utilising Docker containers to allow future cloud migration.

There are a number of high profile projects the team are working on centered around various regulatory initiatives as well as work to continue rolling out the Risk platform to sister entities within the wider group that require the advanced modelling capabilities we offer. On Counterparty Credit Risk we are looking to expand the product set covered in our advanced PFE model and on Market Risk the rollout of internal models for the FRTB regulatory framework is ongoing through to 2025. Alongside this, the team will be migrating the FRA into an Azure based cloud environment and seeks to continue transitioning ever more of our stack into cloud. The role is within the Risk Technology team, working on expanding the product set in our advanced model for Counterparty Credit Risk. The ideal candidate would be a senior C# .NET developer with exposure to pricing or simulation based risk systems in the past.

Knowledge of derivative and cash based products is desirable, but there is no requirement to have in-depth understanding of how these are priced. The candidate will be able to understand functional requirements and translate these into technical solutions. The candidate will have an analytical mindset interested in problem-solving with the attention to detail required to understand large datasets of calculated measures and be capable of validation of results for completeness and correctness. Knowledge of Docker, Python, Hadoop and Azure would be a bonus.

In this role, you will be responsible for tasks across banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

Key Responsibilities:

· Development and design of solutions for middle office risk management systems and related products.

· Liaison with users in Risk Management and other related areas to gather requirements.

· Production of clear technical scope and test documentation.

· Coordinating of change control, includes software management, testing and production releases.

· Providing user support, including responding to user queries and supplying resolutions and fixes to issues.

· Liaison with third party suppliers of software used in middle office risk management systems.

· Providing technical support and maintain production environments hosting middle office risk management systems.

Functional / Technical Competencies: Essential:

· C# and Microsoft development stack (WCF, WF, Unity).

· Knowledge of financial tools & instruments (bonds, cds, equity etc) and finance experience (The main area of knowledge: of fixed income instruments, such as an interest rate swap)

· Microsoft SQL Server.

· Software design methodologies and best practices.

· End to end development cycle knowledge.

· Experience of working in an investment banking (or similar) technology environment.

· Planning and prioritisation skills. Preferred: · Experience with Microsoft HPC Server, Grid and Cloud Computing.

· Web Development with ASP .NET and MVC

· Continuous integration with TeamCity

· Knowledge of Microsoft Azure.

Work Experience:

· Experience of large scale software projects implemented in C# .NET and MS SQL Server.

· Experience interacting with quantitative users to resolve complex business problems.

· Experience working within a Middle or Front Office Risk Technology team or equivalent role in finance.

· Experience of credit and market risk reporting; PV, Sensitivity, Stress, VAR, P&L Rec, PFE, Credit utilisation.

· Experience with Markit Financial Risk Analytics.

· Docker, Teamcity, Azure

· Experience with Unity would be a big plus.

· A mathematical background would be a plus.

· Experience with C# 7.0 (.NET framework 4.6) is highly desirable

• Competitive salary
• Luxoft Training Center
• Access to e-learning Library
• Individual development plans
• Long-term cooperation with possibility to gain experience in different projects and technologies
• A significant number of professional communities (Agile Community, Tech Community, Business Analysis Community, etc.)

• Group Life Insurance
• Private healthcare insurance – LuxMed. Unlimited access to specialist consultations with Dental Care included
• Medical costs reimbursement for employees (up to certain amount per quarter)
• Travel Insurance
• Benefit Program - Cafeteria and Multisport Card

• Various communities (sport, recreation activities, trips, board games, cultural and educational activities)
• Discounts program for employees – BeLux (banking offer, car leasing offer and cafeteria program discount)
• Convenient locations in a modern offices with game rooms
• Multinational projects for clients all over the world