FRTB SME/Risk Analytics Specialist

Crisil; Greater London; On-site; GBP 70,000 - 100,000; Full time

Job summary

Crisil is seeking a Risk Analytics professional to join a leading investment banking client to support their FRTB IMA implementation. You will bring strong quantitative risk background and hands-on Python skills.

You will develop market risk models (VaR, ES), work on PLA/PAT and RFET, analyze time series, and collaborate with Risk, Quants, Technology, and Front Office teams. Exposure to Basel/BCBS regulations and UAT testing will be part of the role.

Qualifications

• Strong knowledge of FRTB IMA and Basel regulations.
• Experience in Market Risk analytics and model development.
• Hands-on experience with VaR, ES, time series and market data analysis.
• Experience with large datasets and quantitative models.
• Familiarity with risk platforms (Murex, Calypso, Athena).

Responsibilities

• Support FRTB IMA methodology implementation and enhancements.
• Develop and enhance market risk models (VaR, ES, sensitivities).
• Work on PLA/PAT and RFET frameworks.
• Perform quantitative analysis on market data and time series.
• Build Python-based analytics tools and data pipelines.
• Partner with Risk, Quants, Technology & Front Office teams.
• Analyze model performance and support Basel/BCBS compliance.
• Assist in UAT and testing.

Skills

FRTB IMA

VaR

ES (Expected Shortfall)

Time Series

Python

Risk metrics

Big data

Education

Bachelor's/Master's in Mathematics/Statistics/Finance/Engineering

Tools

Murex

Calypso

Athena

Job description

We are looking for a Risk Analytics professional to join a leading investment banking client supporting their FRTB IMA (Internal Models Approach) implementation program. This role is ideal for candidates with strong quantitative risk background, solid understanding of FRTB IMA methodology, and hands‑on Python skills.

Key Responsibilities

• Support FRTB IMA methodology implementation and enhancements
• Develop and enhance market risk models (VaR, Expected Shortfall, sensitivities)
• Work on P&L Attribution (PLA/PAT) and Risk Factor Eligibility Test (RFET) frameworks
• Perform quantitative analysis on market data and time series
• Build and maintain Python-based analytics tools and data pipelines
• Partner with Risk, Quants, Technology & Front Office teams
• Analyze model performance and support regulatory compliance (Basel / BCBS)
• Assist in UAT and testing

Must-Have Skills

• Strong understanding of FRTB IMA methodology
• Experience in Market Risk Analytics / Model Development
• Hands‑on experience with:
  • VaR / Expected Shortfall (ES)
  • Time Series & Market Data analysis
  • Risk metrics & sensitivities
• Experience working with large datasets and quantitative models
• Solid understanding of Basel / FRTB regulations

Preferred / Nice to Have

• Hands‑on experience in FRTB IMA implementation
• Experience with PLA (P&L Attribution) and RFET frameworks
• Familiarity with risk platforms (Murex, Calypso, Athena, in‑house systems)
• Knowledge of statistical / stochastic modelling techniques
• Experience in Agile or global delivery environments

Education

• Bachelor’s / Master’s (or higher) in Mathematics, Statistics, Finance, Engineering, or related quantitative field