Market Risk FRTB Quantitative Analyst, VP

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:


  • Salary:


  • Contact:

    Phoebe Cheung

  • Contact email:

  • Job ref:

    PCH - Risk_1562843101

  • Published:

    12 months ago

  • Expiry date:


  • Consultant:


My client, a top tier investment bank is looking for a Market Risk FRTB Quantitative Analyst, VP to join their Market Risk Quant Analytics team based in London.


  • Maintenance of current risk applications and models
  • Come up with clear and solid designs to implement proposed modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
  • Deliver prototypes using or extending as appropriate our Python-based modelling platform
  • Develop the models in C++/Python/R and assist IT to integrate them into the production system.
  • Participate to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework.
  • Support Risk, FO and IT users of our analytics


  • Familiarity with market risk models (ideally with VaR) or pricing models.
  • Familiarity with and experience in the implementation of the FRTB Framework
  • Python/R/C++ hands on development. Should include scientific stack (numpy pandas, scipy etc…), multi-processing, caching, and handling complexity
  • Quantitative & statistical skills, knowledge of financial concepts & products
  • Organized, with great attention to detail; strategic thinker, capable to deliver on time

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