Quantitative Developer Markets Front Office

Markets is looking for a new team member in our Quantitative Analysis and Quantitative Development team at job level 10. Are you a keen coder? Do you have a few years experience developing efficient applications and do you have knowledge of models for financial derivatives? Are you looking to work in a complex and competitive environment? Do you want to learn from some of the most experienced quants in the country? Then this might be the job for you!

Quantitative Analysis and Quantitative Development is part of Markets and both model owner of the mathematical models to value derivatives within Markets and product owner of a few in-house built applications to make these models accessible to users (Trading, Sales, Finance, Risk). Roughly our activities are split between model building (Quantitative Analysis) and application building (Quantitative Development), but the strength of our team derives from the combination of product knowledge, modelling and IT skills. Although we are called Quantitative Analysis and Quantitative Development these are not two separate teams but rather team members do both modelling and development, with some specializing more on the modelling side and others more on the application development side. Our models and implementations require continuous development driven by changes in the market, client behavior and technological evolution. In particular we see an increased demand for strengthening our intraday marking making tooling within markets to further enhance electronification and reduce latency.

The vacancy we have is for someone leaning more towards the Quantitative Development side. We are looking for someone with an engineering / mathematics background who gets his kicks from putting together a great piece of code (in Python and C++) which is both quick and robust and who has sufficient mathematical background to apply the models we own. Knowledge of cloud computing and API programming is preferred. As we are a team of ten people working on the same code and models it is important to be a team player. Working in Markets and having responsibility for tools used in market making of derivatives means you get direct feedback of what you have produced from traders and sales people. It also means that attention to detail and ability to perform under pressure are essential.

The role reports into the Head of Quantitative Analysis and Quantitative Development.

Markets is a dynamic and fascinating environment. You will be part of a team of highly skilled and well appreciated quants and working on a challenging road map. The work you do has direct impact on our speed, stability and accuracy of valuations and risk measurement in Markets.

Technical requirements

• strong programming background
• at least 2 to 3 years of experience in a financial markets environment
• experience with Python or C++
• self motivated
• knowledge of financial derivatives
• master degree in Computer Science, Engineering, Physics, Mathematics or related study

Competencies

• Team player
• Attention to detail
• Pragmatic
• Adaptable to change
• Able to work under pressure

We offer the opportunity to develop yourself and be part of a highly respected team. As we are part of Markets Fixed Income and Derivatives the work we do is directly aligned with our trading desks. You will have a chance to deepen your knowledge of application development and at the same time broaden your knowledge of financial derivatives and the models used to price them. Next to this we offer:

• Salary in Hay 10
• 25 vacation days based on 40 hours
• Personal development budget of €1000 per year
• Benefit budget of 11% (of your salary), so you can decide for yourself if you want extra holiday allowances, a lease bike, or the budget to be paid out as salary.
• Banking for better days. These are days you can work on your personal development or contribute to society.
• Good set of facilities for remote working.
• Annual public transportation pass.
• Solid pension plan that will set you up for the future.

Are you interested? Please apply online. For more information contact Leo Kits, Quantitative Analysis and Quantitative Development, leo.kits@nl.abnamro.com.

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. In addition, a recruitment agency can only submit a resume when invited by a Talent Acquisition Specialist to join the search for a right candidate. All unsolicited resumes sent to us will be considered property of ABN AMRO BANK N.V. In this case, ABN AMRO will not be held liable to pay a placement fee.

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