Market Risk Quantitative Analyst - London based

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:


  • Salary:


  • Contact:

    Phoebe Cheung

  • Contact email:

  • Job ref:

    PCH - Quant Risk_1571652863

  • Published:

    8 months ago

  • Expiry date:


  • Startdate:


  • Consultant:


My client, a top tier global bank is currently looking for multiple Market Risk Quantitative Analyst contractor to join their team based in London to work on FRTB and Interest Rates VaR model projects. You will be responsible for supporting the development and maintenance of market risk models and methodologies for more accurate traded risk measurement and management.


  • Develop new models as per regulatory requirements
  • Contribute to the improvement of FRTB or Rates product Market Risk models through assessment of impact, model validation, suggestion of improvements to the models and helping document changes for internal and external use
  • Coordinate projects dedicated to ensure consistency across sites
  • Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose
  • Drive appropriate calibration and applied traded risk models to ensure that stress tests are more accurately quantified and allocated.
  • The market risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
  • Regulatory approval for effective traded risk models aligns risk measurement and capital.
  • Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
  • Effective communication with the RRA team at both Regional and Group levels ensures there is a strong common understanding of the risk models and that best practices are being applied.
  • Providing bespoke analysis to ensure appropriate risk/capital assessments.


  • Strong analytical skills. Minimum Masters level in Math/Science/Engineering discipline
  • Good understanding of statistics and familiarity with sophisticated tools for numerical analysis (eg. Python, R, Matlab).
  • Relevant working experience in either Risk Management or quantitative modelling of exotic parameters.
  • Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Clear and demonstrable familiarity with Fundamental Review of Trading Book (FRTB) or Expertise in Interest Rates products
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents

Please send your CV to in subject quote "MR Quant"

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