Background:
The key systems/processes that the team develop/support comprise the following elements:-

Risk management, pricing and reporting tool. (Soho)
Soho provides the ability to load deal details from the trading databases and execute risk reports. The trader can quote prices from the array of pricing tools provided as well as risk manage their portfolios. Risk reports can be dispatched to the distributed risk engine (SRS) and viewed from within Soho. (The system consists of a C# front-end with a C++ business layer.)

Pricing tools - directed at marketers. (SohoLite)
SohoLite provides a suite of pricing tools, which coupled with the in-built auto-pricing functionality, allows the marketer to quote prices directly from the system. (The system consists of a C# front-end with a C++ business layer.)

Distributed risk reporting. (SRS)
SRS is a set of distributed processes that provides a scaleable solution to the problem of generating risk reports. (The system is written in C++ and utilises MQ-Series to communicate between processes and Soho.)

Market data Value at Risk process (Soho GEAR)
The Soho gear process performs scenario analysis to determine the impact on the revaluation of the trading portfolios against given shifts in market conditions. This process is run as part of an overnight batch, which we have the task to support. (The system is written in C++)

Overnight Revaluation. (Soho Reval.)
The Soho Revaluation process values all option portfolios within the system and feeds the results to the back office system for inclusion in the official PnL for the desk. This process is run as part of an overnight batch which we have the task to support. (The system is written in C++)

Deal capture and portfolio management tool. (Soho Front Office)
This application allows the middle office to capture deals and perform actions (exercise / expiries) on the booked options. The data is stored in an Ingres2 database, we are in the process of moving to Oracle at the moment, and is distributed to each of the four global live trading databases via an in-house distribution mechanism, QTS. (The system consists of a VB6 front-end with a C++ business layer. N.B. The VB6 is being migrated to C# at the moment.)

The Role

The role is to work on the pricing\\risk management aspects of the system. It is to work closely with the local business users, both trading and marketing, in order to develop the pricing and risk management capability within the system as per their requirements.
 
The main tasks are as follows:-
• Develop the pricing interface with the pricing library.
• Develop the auto-pricing capabilities within the system.
• Enhance the market data and pricing tools within the system.
• Implement critical enhancements as defined by the business.
• Work closely with the development team in London to ensure all developments are undertaken with a global view.
• Provide 1st line support for all pricing related issues.
• Monitor the overnight revaluation and Market risk VAR reporting batches.

The candidate will require a good understanding of C++ and C# and prior business knowledge/exposure would be an advantage.

The systems the team supports are classifies as Tier 1 (business critical) which requires a very flexible approach to work as we have to support the systems as well as perform our development tasks. At present we estimate that on average around 15% of the week is spent handling support issues. Within the team we support an overnight batch that performs the end of day revaluations and scenario analysis for market risk.

Technical & personal skills

General Requirements:-
 Educated to Degree-level in a numerate or technical, degree.
 Good analytical skills.
 Ability to absorb knowledge and pick-up new technologies.
 Excellent communication skills.
 Ability to prioritise work effectively in a dynamic, ever changing, environment.
 Self motivated and able to work under their own initiative.
 Confident enough to work in a trading room environment.
 Ability to work as part of a global team.
 Ability to think on your feet.
 Proactive approach to improving the systems.
 Flexibility to working hours.

Technical Knowledge (Essential):- 
 C++    (3 years+)
 C#
 Oracle RDBMS/SQL

Skills (Desirable):-
 FX Option product knowledge and development experience
 Scripting Languages. (DOS, Ruby)
 Windows XP
 Understanding of Derivatives
 FO support experience

If you are an individual who is highly motivated with good problem solving abilities and inter-personal skills, please state your current and expected salary in your resume in MS Words format and email to professionrecruit@gmail.com

We regret that only short-listed candidates will be notified.