The Department and position

Capital Markets IT (CMI) is the IT department within the bank focused on solutions related to Capital Markets. This includes Front Office (FO) booking platforms, Risk Management (RM) control and regulatory reporting systems, financial product and contract valuation systems, and much more. It is the department most directly exposed to the bank’s financial operations.

The department (CMI) is responsible for development and maintenance of Market Risk and Capital Market BO applications used by worldwide users. Most of the applications are inhouse developments with a mix of Microsoft and open source technologies.

MASAI is an ambitious project critical to the Bank’s strategic pivot towards data-centric operations. In the past, separate systems maintained their data separately, modeling the same data in incompatible ways and depending on ad-hoc and sometimes brittle data sharing mechanisms, creating a complex web of interdependent systems and no centralized repository of data. MASAI was initially created to satisfy regulatory requirements set out by the Basel Committee as part of their FRTB capital rules, but quickly became the central focus in the Bank’s push towards a more data-centric approach. It is based on Big Data technology, which allows horizontally-scalable management of data at and beyond the petabyte scale.

Responsibilities

As a member of the MASAI project’s development team, you will develop robust processes to ingest huge amounts of data from disparate systems, and build processes that transform and use that data.

The core technology used is Apache Spark on top of HDFS, and development is primarily in Java. The position is ideal for someone with a strong interest in data processing and data science: either a confirmed expert in Big Data technologies or a strong developer keen on gaining expertise in that domain.

Any degree in related field

 At least 10 years of software development experience
 At least 8 years experience working with Java
 A strong understanding of recent Java language features, such as lambdas, streams, and futures
 Good knowledge of algorithms and data structures, with strong fundamentals in complexity analysis
 Strong ability to analyze code – understand execution flow & debug even without access to a debugger
 Experience with Maven, Git, writing and maintaining integration tests
 Strong familiarity with Linux and bash
 Good knowledge of SQL or an SQL-inspired dialect such as HQL
Understanding of and interest in finance & financial markets, particularly interest rate derivatives in their many forms (Forwards, Futures, Swaps, Swaptions, etc), knowledge of the greeks (Delta, Gamma, Vega, Vanna, Volga, Cega, etc), risk management concepts (VaR, ES, etc), market data (discount and forecast curves, SABR volatility matrices, correlation and hybrid correlation cubes, etc).

An ideal candidate will also have expertise in some or all of the following:
 Hadoop Big data clusters and tech: Spark, Kafka, HDFS, ORC, Hive, HBase, YARN, Parquet, Zookeeper
 Jenkins and Ansible
 Jira or a similar issue-tracking system
 The Spring framework and IoC, and particularly Sping Boot and Swagger for restful web services

Additionally, knowledge of the following would be helpful although it is not required:
 Python and pyspark
 Web development fundamentals (HTML, Javascript, jQuery, ReactJS, etc)
 Docker/Kubernetes
 Protobuf, gRPC, Kryo, Avro, Snappy
 OLAP cubes: ActivePivot, Druid, Clickhouse