(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++ (C++17/C++20) 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, we’re all about teamwork, respect, and making sure everyone feels they belong. From your first day, you’re not just an employee – you’re an owner and a vital part of our family. We work together to make cool things happen and solve our clients’ trickiest problems. You’ll learn a lot, grow your skills, and have the chance to shape your own career path. Plus, we’re in it together to build a place we’re all proud of. Come join us, bring your ideas into action, and let’s make a difference!
Why CGI?
CGI is one of the world’s 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
[email protected].
For questions about the application process, please contact Jana Kreckova, Recruitment Business Partner, at
[email protected].
We do not work with external recruitment agencies. Therefore, acquisition is not appreciated.
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