Introduction
- 36 hours per week
- Start: 05-01-2026
- Eind: 31-12-2026
- ZZP is not allowed
- Extension is possible
Organization
AACB’s objective is the modernization of the existing margining models/system for all asset classes in its portfolio. You are expected to develop, implement and improve both pricing models and risk models for our existing risk system (C++). You’re expected to closely collaborate with AACB’s Quant Analyst (QRM) team who are responsible for methodology development. Further, you will be working closely with software engineers supporting the existing system, as well as business developers and product owners to understand requirements. The scope of products is limited to exchange traded derivatives.
Function
With the following results (SMART)
• Deep dive and gain a thorough understanding of the risk system’s codebase
• Provide improvement recommendations to the QRM and IT Risk teams for the model implementation
• Design the low-level solution architecture. Participate in the planning of the model implementation
• Implement and deliver model improvements in the existing risk system (C++ development)
Requirements
Relevant knowledge, skills, competences & desired education level
• At least 7 years of experience as a C++ software developer
• At least 4 years of experience developing market or counterparty risk systems
• Skilled and comfortable working with large C++ codebases. Experience with C++ versions up and including C++ 20
• Understanding of quant concepts, e.g.: implied volatilities, standard pricing models, statistical analysis techniques
• General understanding of linear products, options, ETFs, and basic knowledge of their pricing. Preferably across multiple asset classes.
• Experience coaching software developers/junior quant developers, combined with strong communication skills.
• Minimum of M.Sc. in STEM
Additional information
This is a very specialized role, as we need someone who can understand mathematical modeling and communicate at a very high level with our Quant Analysts, while also having experience implementing models in large C++ codebases. Essentially, it’s a hybrid role where both modeling and engineering knowledge are required.
Extra info:
– Need a Quant developer and senior C++ developer in one.
– Having experience working in financial risk area and working on risk models ia mandatory.
– Having a Senior C++ developer which only understands Quant (modelling) concept is not enough.
– Needs to have experience in the Financial Markets area, no mortgage or similar.
– Embedded software engineer will also not be a good fit for this.
– Codebase will be more the 20 years old so several versions of C++ are active.
– Versions 17-20 are mandatory, even having experience in older versions is pré.
– Person will join modernisation team which are working on current production team.
– Person will be busy with everyday work, lots of work, feature development, bug fixing etc.
– Having experience with QRM will be also needed to understand concepts and implement models.
– Preferably someone who holds a Quant title and having senior software development skills in C++.
– Preferably someone who wil be available for longer period of time.
Information
Sean Verhoef +31(0)20-3337629
Application
Sean Verhoef +31(0)20-3337629