Front Office Quants Developer

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

You are an experienced Front Office Quant Developer with a strong quantitative background and proven expertise in Counterparty Credit Risk (CCR) and/or XVA modelling. You enjoy combining mathematical modelling with software development and are comfortable working closely with both technical and business stakeholders.

WHAT ARE YOU GOING TO DO

• Design, enhance and maintain Counterparty Credit Risk models for PFE and EAD modelling throughout the full model lifecycle, from design and prototyping through to implementation.
• Develop and maintain high-performance pricing and risk management solutions using C++ and CUDA.
• Work on quantitative models involving Monte Carlo simulation, risk-factor modelling and derivatives pricing across relevant financial asset classes.
• Collaborate with model integration and software engineering specialists using Agile/Scrum methodologies and professional development practices.
• Provide quantitative support and technical expertise to risk managers, traders and other stakeholders.

AN IDEAL PROFILE WOULD BE

• MSc or PhD in Mathematics, Physics, Statistics/Econometrics, Computer Science, Engineering or a related quantitative discipline, with 5+ years of Quant experience.
• Strong experience in Counterparty Credit Risk and/or Market Risk modelling, including Monte Carlo modelling, risk-factor modelling and derivatives pricing, with exposure to Interest Rates, FX, Commodities, Credit, Equity and/or XVA.
• Strong programming skills in Python and/or C++ with experience implementing quantitative models for Front Office applications; C++/CUDA experience is highly relevant.
• Professional software development experience including Test-Driven Development, Continuous Integration/Delivery, Git and Docker; Azure experience is advantageous.
• Excellent English communication and writing skills, with the ability to explain complex technical concepts to both technical and non-technical stakeholders.

ABOUT US:

Levy is an international IT staffing organization providing recruitment and project resourcing services to companies ranging from start-ups to well established global players across the UK, Holland, Germany, Belgium, and the USA. By partnering with our clients, we provide tailored interim and permanent IT staffing solutions to help them deliver their initiatives across applications and infrastructure, touching areas such as Digital, Data, Cloud, Cybersecurity and ERP.