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Front Office Quant IV | XVA
IQ Staffing B.V.
About the role
Front Office Quant IV
Hours per week: 40
Region: Amsterdam, Netherlands
Salary range: €5,500 - €7,000 gross per month
Start date: As soon as possible
Duration: 12 months, with option to extend
For a leading financial institution in Amsterdam, we are looking for a Front Office Quant IV. In this role, you will join a specialised Front Office Quant team responsible for the development and enhancement of Counterparty Credit Risk and XVA models. The primary focus is on models used for Potential Future Exposure (PFE) and Exposure at Default (EAD) calculations within Front Office systems.
This is a highly technical role that combines quantitative modelling, software engineering and stakeholder collaboration. You will work on in-house pricing and risk models across the full model lifecycle, from design and prototyping to implementation, support and continuous improvement.
This assignment offers the opportunity to work on complex quantitative models within a Front Office environment. You will play an important role in the further development of CCR and XVA models and contribute to high-performance platforms that directly impact pricing and risk management.
You will join a highly technical team where model development, software quality and business impact are key.
What you'll do
As a Front Office Quant IV, you will design, develop and improve quantitative models within Counterparty Credit Risk and XVA. You will work closely with model integration teams, traders, risk managers and fellow quantitative specialists.
Your responsibilities will include:
Designing and enhancing Counterparty Credit Risk models for PFE and EAD calculations.
Developing, implementing and maintaining pricing and risk models throughout the full model lifecycle.
Contributing to the development and maintenance of a high-performance C++/CUDA computing platform.
Implementing quantitative models in collaboration with Front Office model integration teams.
Developing software according to Scrum and professional software engineering practices.
Providing quantitative support to traders, risk managers and other business stakeholders.
Building robust solutions for pricing, risk management and Front Office applications.
What you'll bring
For this assignment, we are looking for an experienced Quant with a strong combination of quantitative expertise and software engineering skills.
You meet the following requirements:
Minimum of 5 years’ experience as a Quant within Counterparty Credit Risk and/or Market Risk modelling.
Hands-on experience with Monte Carlo modelling, risk factor modelling and derivatives pricing.
Experience with at least one of the following asset classes: Interest Rates, FX, Commodities, Credit, Equity or XVA.
Strong experience implementing quantitative models in Python and/or C++ within Front Office environments.
A university degree, preferably MSc or PhD, in Mathematics, Physics, Statistics, Econometrics, Computer Science or Engineering.
Experience with professional software development practices, including Test-driven Development, Continuous Integration and Continuous Delivery.
Experience with Azure, Git and Docker is preferred.
Excellent verbal and written communication skills in English.