Front Office Quant Developer: CCR/XVA Modeling in C++/CUDA

Levy Global; Amsterdam; On-site; EUR 120,000 - 180,000; Full time

Job summary

Levy is seeking an experienced Front Office Quant Developer with a strong quantitative background in CCR/XVA modelling. You design, implement and maintain models and pricing/risk systems for front-office use, collaborating with traders and risk managers in Amsterdam.

The ideal candidate holds an MSc or PhD and 5+ years of quant experience, with expert Python/C++ skills, CUDA experience, and modern software practices like Git, Docker, CI/CD. Excellent English required.

Qualifications

• 5+ years of quant experience in CCR and/or XVA modelling.
• Strong Monte Carlo, risk-factor modelling and derivatives pricing experience.
• Proficient in Python and/or C++ with front-office modelling exposure.
• Experience with TDD/CI/CD, Git, Docker; Azure is a plus.
• Excellent English communication to stakeholders.

Responsibilities

• Design, enhance and maintain CCR models for PFE and EAD through the full model lifecycle.
• Develop high-performance pricing and risk solutions using C++ and CUDA.
• Work on Monte Carlo, risk-factor modelling and derivatives pricing across asset classes.
• Collaborate with model integration and software engineering teams in Agile/Scrum.
• Provide quantitative support to risk managers, traders and stakeholders.

Skills

Quantitative modelling

C++ programming

Python programming

Communication skills

Education

MSc or PhD in quantitative field

Tools

C++

CUDA

Python

Git

Docker

Azure

Job description

Levy is seeking an experienced Front Office Quant Developer with a strong quantitative background in CCR/XVA modelling. You design, implement and maintain models and pricing/risk systems for front-office use, collaborating with traders and risk managers in Amsterdam.

The ideal candidate holds an MSc or PhD and 5+ years of quant experience, with expert Python/C++ skills, CUDA experience, and modern software practices like Git, Docker, CI/CD. Excellent English required.