- New York, NY, USA
- Permanent, Full time
- Credit Suisse -
- 18 Nov 18
Trading Systems & Research Developer#118188
The Structured Products Data and Research group (SPDG) captures data from numerous sources covering Agency & Non-Agency ABS, MBS, CDO/CLO, and CMBS sectors. Our team provides the Securitized Products front-office with data, tools, and responds to ad-hoc mortgage surveillance requests. Individuals in this group are subject matter experts supporting multiple product lines.
We are looking for Mortgage technology SME who worked with very large databases and built APIs to manage that data and can respond to ad-hoc requests on the collateral, structure, and cash flows of the underlying deals. The role involves collecting and cracking data feeds from numerous sources into data repositories and building processes that leverage that data. You will be a software developer who is a data junkie with excellent tape cracking skills and is considered a subject matter expert on Intex API and loan level data from vendors such as CoreLogic, Trepp, and eMBS. In addition to strong C++ & C# skills, you must have strong SQL databases.
- Intensive monthly tape cracking and data normalization production cycles (CDO/CLO/CMBS).
- You will maintain/enhance multiple SPDG loading platforms that capture loans and bonds indicatives, structures, cash flows, and prices from data vendors, public data websites, and API wrappers such as Intex CMOSUBS.
- You will investigate monthly data quality issues and provide remedies.
- You will construct complex SQL queries to pull data from Sybase and SQL Server database repositories containing 20+ terabytes of data.
- You will build data tools, database Stored Procedures, Spreadsheets (VBA), Scripts, and data slice/dice solutions.
- You will provide ad-hoc mortgage analysis by constructing complex SQL queries, calculating prepayment speeds, generating cash-flows, providing loan performance metrics and stratifications.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
- You have strong C++ & C# .NET development skills (10+ years exp).
- You have hands-on experience working with Agency & Non-Agency securitized products data.
- You must have worked with major data vendors include CoreLogic, Intex, Trepp, and eMBS.
- You must have strong SQL scripting and database management skills (SQLServer/Sybase).
- You must be familiar with CMOs, ReRemics, Passthroughs, Bond Cash flows & Pricing concepts.
- You have deep understanding of Intex CMOSUBS grammar.
- Can calculate CPR, CDR, Loss Severities, stratifications from loan and pool level data.
- Your experience with Web development, Machine Learning, Big data, Unix OS, and Perl is a plus!
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