Job Details

FRTB Quant Developer - Market Risk/FRTB/Risk Models/BASEL/CRD IV

London, Greater London, United Kingdom, Permanent

Posted: 23days ago


Consultancy is looking for a FRTB Quant Developer to join them in a permanent position, based in London and onsite with a Top Investment Bank.

Role Summary:

Participate in various FRTB/market risk focussed quantitative risk and implementation engagements

Contribute to rules interpretation, methodology and implementation of FRTB rules related to -

  • Sensitivities based approach
  • Default Risk Charge (DRC) calculation
  • Internal Model approach (IMA)
  • P&L attribution testing and back testing


Experience in risk management with a focus towards market risk or derivatives. Experience in FRTB context is preferred.

  • Derivatives pricing models
  • Market risk models
  • Regulatory capital calculation models

A very good understanding of FRTB rules

Experience in regulatory projects is preferred - FRTB, BASEL II, CRD IV

Strong academic background in Engineering, Science, Computation Finance, Statistics and Mathematics with professional certifications like CQF, FRM, PRM is preferred.

Experience in quantitative development in various software environments. Ex: VBA, Python, R, C++, SQL, MATLAB, .NET etc.

Excellent communication and documentation skills.

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Job Details

London, Greater London, United Kingdom