Front Office Quant Developer

Front Office Quant Developer

As a preferred supplier to one of our biggest Financial Clients, I am seeking for a Front Office Quant Developer for a position in Amsterdam, Netherlands. We are looking for an experienced Front Office Quant Developer with experience in the Counterparty Credit Risk (CCR) and / or XVA modelling domain, and excellent analytical and programming skills. You will be part of a large quant team responsible for the design, development, implementation and support of our in-house pricing and risk models.

Key responsibilities

• Design and enhance our Counterparty Credit Risk models used for PFE and EAD modelling across the full model lifecycle, starting from model design and prototyping to implementation in Front Office systems.
• Contribute to the development and maintenance of our high-performance computing platform in C++/CUDA for pricing and risk management; collaborate with the IT model integration teams, following the Scrum methodology for software development.
• Collaborate closely with the wider quant team other key stakeholder; provide quantitative support to risk managers and traders

What you bring

• A university degree (preferably PhD or MSc) in mathematics, physics, statistics/econometrics, computer science or engineering.
• At least 5 years of Quant experience in the area of Counterparty Credit Risk models and / or Market Risk models. This includes Monte Carlo modelling, risk factor modelling, derivatives pricing, and experience with at least one of the following asset classes: Interest Rates, FX, Commodities, Credit, Equity, XVA.
• Strong background in implementing quantitative models in Python and / or C++ for Front Office purposes.
• Experience with professional software development practices, including Test-driven Development, Continuous Integration and Delivery; preferably experience with Azure, Git and Docker.
• Fluency and excellent writing skills in English, and the ability to communicate with technical and non-technical business colleagues.

Contract: 12 months+

Rates: Excellent

Location: Amsterdam

Interview: 2 stages, 1 technical + 1 assessment

Nick Chinweerapunt

Account Manager

Gazelle Global Consulting

Tel +31 85 111 0171

Tel +44 203 588 7747

Mob +44 7377 403 773

nick@gazellegc.com