FRTB SME/Risk Analytics Specialist

CRISIL Limited; Greater London; On-site; GBP 90,000 - 120,000; Full time

Job summary

CRISIL Limited is seeking a Risk Analytics professional to join a leading investment banking client supporting FRTB IMA implementation. The role focuses on quantitative risk, Python tools, and collaboration with risk, quants, technology and front office teams.

The candidate will develop and enhance market risk models, perform time-series analysis, and ensure regulatory compliance with Basel/BCBS. Strong problem-solving and data manipulation skills are essential, as is experience with large

Qualifications

• Strong understanding of FRTB IMA methodology.
• Experience in Market Risk Analytics / Model Development.
• Hands-on experience with VaR, ES, time series and market data analysis.
• Experience with large datasets and quantitative models.
• Solid understanding of Basel / FRTB regulations.

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 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.

Skills

FRTB IMA

Market risk analytics

VaR/ES/time series

Large datasets

Basel/FRTB regulations

Education

Bachelor's/Master's in math/ stats/ finance

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