Summary
✨ AI‑Generated
An experienced Front Office Quant Developer is sought to design, develop, implement, and support sophisticated pricing and risk models. You will focus on Counterparty Credit Risk and/or XVA modeling, including PFE and EAD, while developing a high-performance C++/CUDA computing platform. The role spans quantitative model design through production implementation and involves close interaction with quantitative, technology, risk, and trading professionals.
Highlights
Work within a prominent quantitative team on sophisticated pricing and risk models across their full lifecycle. The position combines advanced quantitative finance with hands-on C++/CUDA development, high-performance computing, and direct collaboration with quants, technology teams, risk managers, and traders.
Description
For one of the most prominent banks in the Netherlands, we are looking for an experienced Front Office Quant Developer with expertise in Counterparty Credit Risk (CCR) and/or XVA modelling.
You will join a large quantitative team responsible for the design, development, implementation and support of in-house pricing and risk models.
This role combines sophisticated quantitative modelling with hands-on software development in a Front Office environment.
What will you do?
Design and enhance Counterparty Credit Risk models for PFE and EAD modelling, covering the full model lifecycle from design and prototyping to implementation.Develop and maintain a high-performance computing platform in C++/CUDA for pricing and risk management.Implement quantitative models for use within Front Office systems.Work closely with Quant, IT and other key stakeholders.Provide quantitative support to risk managers and traders.
What are we looking for?
A university degree, preferably a PhD or MSc, in Mathematics, Physics, Statistics/Econometrics, Computer Science, Engineering or a related quantitative field.At least 5 years of Quant experience within Counterparty Credit Risk and/or Market Risk modelling.Experience with Monte Carlo modelling, risk factor modelling and derivatives pricing.Experience with at least one of the following: Interest Rates, FX, Commodities, Credit, Equity or XVA.Strong experience implementing quantitative models in Python and/or C++ for Front Office purposes.Experience with professional software development practices, including TDD and CI/CD.Preferably experience with Azure, Git and Docker.Excellent command of English.
What do we offer?
36 hours per weekOne-year contract, with extension most likelySalary: €6,500.60 – €7,023.83 gross per month based on 36 hours, depending on experienceHoliday allowance, 13th month and pensionZZP/freelance is also possible: €95 – €108 per hour
Interested?
Are you an experienced Quant who enjoys combining CCR/XVA modelling with hands-on development in a Front Office environment at one of the Netherlands’ leading banks? Apply today!
