Introduction
Assignment start date 15 April 2025
Assignment end date 15 July 2025
Possible extension YES
Hours per week 40,0
Organization
AACB objective: modernization of the margining models and risk management for all assets classes in AACB portfolio by migrating from the existing margin models within monolith application to VaR/ES margin models. Implementation of the migration will follow a milestone-based approach associated with asset class groups:
• Commodities (Oil refinement products)
• First milestone: linear products
• Second milestone: options & ETFs
• Fixed Income
Function
With the following results (SMART)
• Start with the evaluation of the model’s implementation by reviewing the end-to-end architecture of the existing implementation, including a more detailed code-review assessment
• Provide improvement recommendations to the QRM and IT Risk teams for the model implementation
• Design the low-level solution architecture and participate in the planning of the model implementation
Requirements
Relevant knowledge, skills, competences & desired education level
Existing team at AACB:
• QRM: 3 Methodology Quants (responsible for methodology and prototype development)
• IT Risk: 4 IT C++ Engineers, 2 IT Quant Developers, 3 Business Developers.
would like to get the support from the experienced Quant Developers to perform the review of the existing modelling solutions as well as guide the existing team on both the design process and implementation.
AACB team would like to limit the amount of hands-on work delegated to the external party by providing most of the hands-on implementation work to IT Risk Engineers, while ensuring that external Quant Developers can help with requirements analysis, lead the design sessions and perform the ongoing code-reviews.
The time horizon for the initial engagement is 3-6 months and objective is to train the existing engineering team on the market standards of the model implementation and establish WoW model between QRM and IT Risk team.
We would like to reiterate the importance of having experienced candidates (Principal Level) that can lead the design and implementation process:
• At least 7-10 years of experience as a quant dev
• At least 5 years of experience developing market or counterparts risk systems using C++
• Understanding of quant concepts, eg (bootstrapping) curves, implied volatilities, standard pricing models
• General understanding of linear (and plain vanilla option) products and basis knowledge of their pricing
• Experience with coaching the team of software developers/junior quant developers
Information
Michael Siep +31(0)20-3337629
Application
Michael Siep +31(0)20-3337629
