Front Office Quant Developer | CCR & XVA Modelling | C++/CUDA | Lead NL Bank
We are looking for a Front Office Quant Developer for the Counterparty Credit Risk and XVA domain at a lead NL bank. The team is responsible for the design, development, implementation and support of the in-house pricing and risk models used across the front office, covering PFE and EAD modelling on a high-performance computing platform built in C++/CUDA. You will work in a large, international quant team, closely involved with risk managers, traders and IT model integration teams.
About the role
As a Front Office Quant Developer, you will work across the full model lifecycle, from model design and prototyping through to implementation in front office systems, giving you ownership over models that directly drive trading and risk decisions. The role is based in Amsterdam with hybrid working. You will:
- Design and enhance Counterparty Credit Risk models used for PFE and EAD modelling, end to end.
- Contribute to the high-performance computing platform in C++/CUDA used for pricing and risk management, working in Scrum alongside IT model integration teams.
- Provide quantitative support to risk managers and traders as part of the wider quant team.
Who are you?
- University degree (preferably PhD or MSc) in mathematics, physics, statistics/econometrics, computer science or engineering.
- At least 5 years of quant experience in Counterparty Credit Risk and/or Market Risk models, including Monte Carlo modelling, risk factor modelling and derivatives pricing.
- Experience in at least one asset class: Interest Rates, FX, Commodities, Credit, Equity or XVA.
- Strong hands-on experience implementing quantitative models in Python and/or C++ for front office purposes.
- Experience with Test-driven Development and CI/CD; Azure, Git and Docker experience is a plus.
About Levy Professionals
Since 2000 we provide professional solutions to organizations ranging from tech start-ups to global players. From our offices in Amsterdam and London we have built an international and local network of skilled employed professionals and contractors fuelled by our passion for connecting skills with projects. Over the years we have fulfilled over 2500 requirements and nowadays we consistently have 250+ professionals recruited and relocated from 14 countries allocated to various projects. Our strength is the way that we see and treat people. This will always be a key factor in our strategy for many years to come.
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