Front Office Quant Developer (CCR/XVA)

TL;DR

Front Office Quant Developer (C++/Python): Developing and optimizing high-performance pricing and risk models for Counterparty Credit Risk and XVA with an accent on Monte Carlo simulations and GPU acceleration. Focus on building scalable quantitative platforms, implementing derivatives pricing models, and ensuring accurate risk calculations for front-office trading.

Location: Amsterdam, Netherlands

Company

A professional recruitment firm connecting highly skilled specialists with leading global organisations across Europe.

What you will do

• Design and enhance CCR models for Potential Future Exposure (PFE) and Exposure at Default (EAD) calculations.
• Develop quantitative models from initial prototyping through production implementation in Front Office systems.
• Build and optimize a high-performance computing platform using C++ and CUDA.
• Collaborate with quantitative analysts, traders, and risk managers using Agile Scrum methodologies.
• Enhance derivatives pricing models, Monte Carlo simulation frameworks, and risk factor models.
• Implement software engineering best practices including TDD, CI/CD, and version control.

Requirements

• Master's degree or PhD in Mathematics, Physics, Statistics, Computer Science, or a related quantitative discipline.
• Minimum 5 years of experience developing quantitative models within Counterparty Credit Risk, XVA, or Market Risk.
• Strong programming expertise in C++ and Python.
• Hands-on experience with Monte Carlo simulation, risk factor modelling, and derivatives pricing.
• Experience with Git, Docker, and preferably Azure.
• Fluent in English, both written and spoken.

Culture & Benefits

• Opportunity to work at the intersection of quantitative research and software engineering in a front-office trading environment.
• Participation in the full lifecycle of pricing and risk models.
• Collaborative environment working with high-performance computing tools.