Senior Associate Software Developer, Risk Engine

Summary of Duties:                          Designs, develops, and debugs software of diverse scope for new and existing products in accordance with designated development practices, timelines and quality expectations. Designs and develops high quality, testable and scalable software solutions within established timelines while adhering to R&D best practices and processes. Actively involves other project stakeholders (e.g. managers, developers, user interface and visual designers, product managers) to ensure implementation satisfies functional requirements and is consistent with established R&D standards. Participates in project scoping and scheduling; tracks progress of individual tasks and alerts stakeholders of issues blocking or preventing completion of task. Ensures quality through functional, unit and performance testing; works closely with testing by providing thorough reviews of the test plan and communicates when updates to the plan should be made to cover code changes related to enhancements, redesigns and/or bug fixes. Maintains accountability for the entire life cycle of the code including support for both internal and external consumers. In collaboration with technical writers, authors appropriate level of design and technical documentation that satisfies both internal and external consumers. Designs and develops pricing methods for select financial methods using SAS proprietary Risk Engine. Uses development of integration routines between SAS proprietary Risk Engine and legacy third party cashflow engine. Leverages financial domain knowledge to author and maintain dedicated data base schemas to simulate and benchmark legacy financial system against SAS proprietary Risk Engine. Authors and maintains functional validation suite for new Risk Engine features based on use cases and system implementation. Diagnosis and debugs numerical differences between the two risk systems (SAS Proprietary and Legacy) to validate against system acceptance criteria. Compares pricing methods, cashflow engines of a diverse set of asset classes (e.g. Bonds, Loans, Derivatives, Equity instruments) and credit behavior models such as probability of default, loss given default and exposure at default. May work remotely pursuant to SAS’ Flexible Work Program.

Qualifications:                                   Position requires a Bachelor’s degree in Computer Science, Financial Mathematics, or related quantitative field plus two (2) years of experience in the job offered or as a Software Engineer or related occupation.

Requires knowledge of financial risk management concepts including Asset Liability Management, IRRBB, and Market Risk. Requires experience with a vendor market risk or Asset liability system. Requires experience developing and maintaining analytical libraries, cashflow generation, and valuation functions of various asset classes. Requires understanding of Credit Risk Management including credit behavior models based on diverse set of techniques. Requires experience with SAS Programming with ability to develop, maintain, and debug SAS macros and scripts in SAS Viya or SAS 9.4 Environments. Requires proficiency in Golang. Requires experience in Python or Groovy. Requires experience implementing user interface components using Angular and TypeScript. Requires knowledge of database interactions in a transactional system using PostgreSQL, Oracle or similar relational database systems. Requires experience with Kubernetes and public cloud provider technologies. Requires understanding of version control and CI/CD concepts.  Requires experience using Git-based version control systems. Requires experience developing and integrating with microservices-based systems using RESTful APIs. Requires experience with Docker containerization and container orchestration. Requires understanding of microservices architecture and distributed systems. Requires experience with modern build tools and dependency management.

Additional Information: