Quant Developer COH 2.0
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Job Location:
Amsterdam - Netherlands
Monthly Salary:
Not Disclosed
Posted on:
Yesterday
Vacancies:
1 Vacancy
Job Summary
Position Description:
(Note: This job posting is only open to EU candidates.
A Quantitative Developer (C) who will design implement and maintain the analytical and computational components of the margin and risk modeling framework. The developer bridges quantitative finance numerical methods and high performance engineering delivering robust efficient and production grade tools for scenario generation pricing and risk aggregation.
Core responsibilities include
Implementing high performance pricing models (futures averaging futures spreads Black 76/Bachelier options) in modern C
Developing and optimizing scenario generation pipelines including historical shocks filtered historical simulation (devol/revol) interpolation/extrapolation of curves and vol surface transformations
Building scalable deterministic portfolio revaluation engines for VaR/ES calculations
Developing clean APIs for curves vol surfaces fixings calendars and risk factors
Ensuring numerical stability vectorization memory efficiency and unit test completeness
Closely collaborating with quants and risk analysts to translate mathematical specifications into correct maintainable software components
Required technical skills
Strong modern C (C17/C20) with focus on performance memory model templates and numerical programming
Experience with numerical methods optimization interpolation techniques and root finding (e.g. Brent solver)
Understanding of financial derivatives: futures options implied volatilities forward curves discounting
Experience building models involving VaR ES scenario based risk engines historical simulation
Ability to implement time series filtering (EWMA long/short memory) curve construction and shock transformations
Solid engineering practices: CI/CD unit testing deterministic computation profiling
Desirable skills:
Familiarity with risk systems margining models and large scale portfolio calculations
Experience with Python for prototyping and backtesting
Knowledge of parallelization (OpenMP TBB or GPU) and performance tuning
Strong communication skills for working with quants model validators and risk managers
Where will you work
At CGI were all about teamwork respect and making sure everyone feels they belong. From your first day youre not just an employee youre an owner and a vital part of our family. We work together to make cool things happen and solve our clients trickiest problems. Youll learn a lot grow your skills and have the chance to shape your own career path. Plus were in it together to build a place were all proud of. Come join us bring your ideas into action and lets make a difference!
Why CGI
CGI is one of the worlds largest IT consulting companies. Our people keep the Netherlands running. Government institutions banks aerospace organizations infrastructure organizations and energy transport and manufacturing companies are clients of CGI. We work on interesting projects that impact the daily lives of millions of people. We have a strong regional presence strengthened by global domain expertise our ecosystem and colleagues located all over the world.
We are proud of the impactful projects that we successfully deliver together with our colleagues.
At CGI we place great value on diversity and inclusion as this not only promotes collaboration but often leads to better results. We look forward to your contribution to our team! You will work in small self-managing teams made up of experts in your field.
Control over your own career with the space to continue developing yourself
An excellent salary and attractive secondary benefits
A permanent contract from day one
Part-time opportunities
The opportunity to become a CGI shareholder
Join our team of experts and apply today!
Apply now! We will contact you as soon as possible. Do you have questions about the position Feel free to contact Carlo Busman Director Consulting Services at
For questions about the application process please contact Nick Damen Recruitment Business Partner at
We do not work with external recruitment agencies. Therefore acquisition is not appreciated.
#LI-ND
What you can expect from us:
Together as owners lets turn meaningful insights into action.
In 1976 opgericht als een familiebedrijf is CGI vandaag de dag een van de grootste onafhankelijke zakelijke en ICT-dienstverleners ter wereld. Bij ons draait het om ownership teamwork en respect. Je krijgt de ruimte om al je talenten volledig te ontplooien.
Vanaf je eerste werkdag ben je mede-eigenaar van CGI. We profiteren samen van ons succes en je krijgt de kans én verantwoordelijkheid om actief bij te dragen aan de koers en strategie van ons bedrijf.
Jouw inzet voegt waarde toe. Je werkt aan innovatieve oplossingen en bouwt aan je netwerk van collegas en klanten. Je hebt toegang tot wereldwijde kansen om je ideeën te realiseren mogelijkheden te benutten en te profiteren van onze kennis van de industrie en technologische expertise.
Ontdek bij ons de mogelijkheden voor jouw persoonlijke ontwikkeling en zet de volgende stap in je carrière. Hier staat jouw succes centraal!
Required Experience:
IC
Key Skills
- CCTV
- Computer Science
- Corporate Marketing
- E Learning
- Arabic English Translation
About Company
The COMPANY is one of the few end-to-end consulting firms with the scale, reach, capabilities and commitment to meet clients’ enterprise digital transformation needs. Our 77,500 consultants and professionals work side-by-side with clients in 10 industries across more than 400 location ... View more
