C++ developer for derivatives risk systems

A major Dutch bank is modernising the margining models behind its C++ risk system. It clears listed derivatives across Europe, Asia-Pacific and the US. You will work alongside the Quantitative Risk team to turn new pricing and risk methodology into production code. You will also help shape the low-level architecture of a system that sits at the core of the clearing business.

• Get to know the risk system's codebase in depth and recommend improvements to the model implementation
• Design the low-level solution architecture and help plan the model roadmap
• Implement pricing and risk model improvements in C++ (up to C++20)
• Coach software developers and junior quant developers

• 7+ years of experience as a C++ developer, including work in large codebases and modern C++ (up to C++20)
• 4+ years of experience developing market or counterparty risk systems
• Solid understanding of quant concepts such as implied volatility, standard pricing models and statistical analysis
• Working knowledge of linear products, options and ETFs and how they are priced, ideally across several asset classes
• Experience coaching developers, combined with strong communication skills
• MSc in a STEM field

• This is a 1+ year assignment for 36 hours a week, based at the bank's Amsterdam Zuidas office.
• It is a payroll position via Levy Professionals.