Quantitative Developer

2 weken geleden


Amsterdam, Noord-Holland, Nederland Gazelle Global Voltijd

As a preferred supplier to one of our biggest Client, I am seeking a Quantitative developer for a position in Amsterdam, Netherlands.

36 hours

2 - 3 year project

Hybrid (1 day per week onsite)

The project and responsibilities:

Modernisation of the margining models and risk management for all assets classes in Tthe portfolio by migrating from the existing margin models within monolith application to VaR/ES margin models. Implementation of the migration will follow a milestone-based approach associated with asset class groups:


• Commodities (Oil refinement products)


• First milestone: linear products


• Second milestone: options & ETFs

  • Start with the evaluation of the model's implementation by reviewing the end-to-end architecture of the existing implementation, including a more detailed code-review assessment
  • Provide improvement recommendations to the QRM and IT Risk teams for the model implementation
  • Design the low-level solution architecture and participate in the planning of the model implementation
  • To train the existing engineering team on the market standards of the model implementation and establish WoW model between QRM and IT Risk team.

The team would like to limit the amount of hands-on work delegated to the external party by providing most of the hands-on implementation work to IT Risk Engineers, while ensuring that external Quant Developers can help with requirements analysis, lead the design sessions and perform the ongoing code-reviews.

Qualification:

  • At least 7-10 years of experience as a quant dev
  • At least 5 years of experience developing market or counterparts risk systems using C++
  • Understanding of quant concepts, eg (bootstrapping) curves, implied volatilities, standard pricing models
  • General understanding of linear (and plain vanilla option) products and basis knowledge of their pricing
  • Experience with coaching the team of software developers/junior quant developers

If you want to be involved with tech innovation in a fast-paced environment with an employer that offers a generous rate then please don't delay in sending me your CV :)

Dipika Kaur

Senior Contract Consultant

Gazelle Global Consulting

Tel +31 35 799 43 33

Email - dipika@gazellegc.com



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