At a glance

Are you a quant developer with a passion for technical leadership? Have you already spent a few years guiding software engineers and junior quants, while mastering quantitative finance concepts? If youre ready to combine handson development with real technical ownership look no further. ABN AMRO Clearing (AACB) is executing a major modernization of its risk management systems across all asset classes in its portfolio. This is your unique opportunity to build a new market risk system/model from scratch.

AACB is a globally active and prominent general clearing member, providing best execution, clearing, settlement, custody and financing services for listed derivatives, cash securities, over-the-counter products, exchange-traded funds, commodities, and foreign exchange transactions. As a prime broker, our single global service model for clients connects businesses in the three regions:  Europe, Asia-Pacific, and the United States. ABN AMRO Clearing covers all major exchanges and execution venues and provides central counterparty coverage in those regions as well as Brazil.

Your job

As part of this major modernization initiative, we are gradually migrating asset classes from the current market risk system to a new, inhousebuilt, C++ risk platform, based on modern risk methodologies. Our goal is to improve flexibility, accuracy, performance, scalability, and delivery by means of a new market risk system/methodology. You will:

• Drive development, implementation, and continuous improvement of both pricing and risk models within this new system
• Be the senior technical counterpart to AACBs Quantitative Risk Management (QRM) team which designs the underlying methodologies
• Lead and mentor software engineers and junior quant developers; establish best practices in code review, testing, CI/CD, observability, and documentation
• Drive the technical strategy of the team, collaborating closely with the Chapter Lead who oversees the team's people and capability growth
• Partner with business developers and product owners, translating requirements into robust system functionality
• Align with fellow tech leads to set the technical direction

Working environment

Our systems play an essential role in everything we do in the clearing and risk management domain. That is why our application development teams collaborate closely to explore ideas and set new directions. Together we build and maintain an outstanding suite of reliable, high performing systems and applications. Our current core technology stack consists of: C++20, Python, Postgres, Kafka, Redis, Linux (Bash), CI/CD tooling and OpenShift.

Your profile

You're an experienced (minumum 2 years) technical lead or team lead with proven experience in coaching software engineers or junior quants. You have a solid understanding of quantitative finance concepts, e.g. curve construction (including bootstrapping), implied volatility, and standard pricing models. You have general knowledge of linear products and vanilla derivatives, including their pricing approaches across a broad spectrum of asset classes. On top you have strong communication and stakeholder management skills. Do you think you're a fit? Please check your profile for the following must have skills:

• At least 7 years of experience as a C++ software developer
• Ideally, at least 4 years of experience building or enhancing market or counterparty risk systems
• Strong command of modern C++ (C++17/C++20), with emphasis on performance, memory management, templates, and numerical algorithms
• Experience building scalable, deterministic portfolio revaluation engines for scenario-based calculations is beneficial
• MSc/PhD in a STEM discipline

We are offering

We believe it is important to be a good employer. Joining us means stepping into a role with impact, supported by excellent employment conditions that foster your job satisfaction, development, and wellbeing. In addition, we offer:

• An attractive gross monthly salary based on a 36hour work week, including holiday allowance and a flexible benefit budget (all-in the salary is max 120.814 for 36 hours or 134.238 for 40 hours). 
• An excellent pension scheme, ensuring that you are well prepared for the future.
• Flexibility in working: working from home is possible in consultation with your team and depending on your role. We will provide an ergonomic home office setup for you.
• Plenty of room for relaxation with five weeks of vacation per year, supplemented by two mandatory days off. You can also purchase up to four additional weeks of vacation annually.
• Five Banking for better days: extra days off that you can use for personal development or volunteer work.
• Personal development is key: you receive a development budget of 1,000 per year, which can accumulate up to 3,000.
• An annual public transport pass with free public transportation throughout the Netherlands for both business and private use.

You can find more information about our employment conditions and salary scales in our Collective Labour Agreement (CLA), which applies to this vacancy.

Interested?

Your Future: Inclusive, Innovative, Sustainable

At ABN AMRO, we believe in "Banking for better, for generations to come." Equal opportunities for everyone are a crucial foundation, as we strive for an inclusive culture where all employees feel seen, heard, and valued. Our vision of being a personal bank in the digital age aligns perfectly with the demand for surprising insights and innovative solutions, born from a diverse interplay of cultures and experiences. We focus on customer experience, sustainability, and building a future-proof bank, conducting annual reviews to ensure equal pay for equal work. Join a bank that embraces ingenuity and ambition, and make an impact with us for a better future.

If you want to apply for the B-Able or Reboot program, make sure to mention it both in the title and the content of your resume.

Disclaimer external recruitment agencies

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.