Quant risk analyst FRTB - Investment Bank - Contract - LDN

Job Title: Quant risk analyst FRTB - Investment Bank - Contract - LDN
Contract Type: Contract
Location: London, England
Salary: £500 - £700 per day
Reference: BBBH19216_1533061357
Contact Name: Jack Antcliffe
Contact Email:
Job Published: July 31, 2018 19:22

Job Description

Quant risk analyst FRTB - Investment Bank - Contract - London

A Global Investment Bank is seeking a Quantitative Analyst to join their London Quant Development team which is responsible for the advanced models that are used to calculate Market Risk via VAR, sVAR, IRC and RNIV - these models are used for internal control and are regulatory approved by the PRA (IMA approved models). The VAR model covers a wide set asset classes includes Rates, FX, Credit, inflation, and Equity. In addition to the IMA models the team supports models of portfolio default that are used to support Economic Capital calculations. You will assist evolving the VAR approach to be FRTB ready and in addition assist with quantitative tasks within FRTB project including the validation of results from the FRTB standardised calculations.

Key responsibilities:-

  • Support analysis of FRTB advanced method
  • PLA attribution tests help review data and suggest remediation
  • Support capital estimates of the ES component
  • Support capital estimates of the NMRF component
  • Support checking of FRTB standardised results
  • Other quantitative tasks and analysis as required to support project

Key skills and experience:-

  • Functional / Technical Competencies:
  • Experience working in market or credit risk modelling
  • Financial math knowledge eg Msc
  • Some knowledge of VBA/Excel
  • Python knowledge - Beneficial

Education / Qualifications:-

  • Degree in quantitative subject eg Maths,Physics,Statistics

If of interest please do not hesitate to call me on 02031894298 or email me back on