Market Risk Quantitative Analyst (FRTB)

Quanteam UK; Greater London; On-site; GBP 90,000 - 140,000; Full time

Job summary

Quanteam UK in London is seeking a Market Risk Quantitative Analyst with FRTB expertise to develop and maintain SA/IMA capital methodologies across multiple asset classes. The role offers both permanent and contract opportunities within a specialist analytics team.

You will translate regulatory requirements into robust models, collaborate with risk, front office, finance and technology, and produce clear documentation and regulatory-ready outputs.

Qualifications

• Degree at MSc level or higher in a quantitative field.
• Practical FRTB experience and SA/IMA knowledge.
• Experience in market risk modelling: VaR, ES, or Stressed VaR.
• Derivatives pricing and risk sensitivities knowledge.
• Programming in Python with analytical tools.
• SQL experience with large datasets.
• Supporting IMA applications or regulatory reviews.
• Familiarity with Basel III, CRR, PRA market risk requirements.
• Exposure to Counterparty Credit Risk or CVA.

Responsibilities

• Develop, implement and maintain FRTB market risk models (ES, SBM, DRC, RRAO).
• Design risk factor mappings, liquidity horizons and data needs per regulation.
• Document methodologies and testing evidence for model validation.
• Collaborate with technology teams on system changes for model enhancements.
• Explain capital movements and provide risk commentary for senior stakeholders.
• Address regulatory queries and internal audit requests.
• Support IMA desk eligibility through PLAT/backtesting analyses.

Skills

Communication

Analytical problem solving

Autonomy

Team collaboration

Regulatory awareness

Education

MSc in Mathematics, Physics, Statistics, Quantitative Finance, Engineering or related quantitative discipline

Tools

Python

SQL

C++

C#

Job description

Quanteam UK are seeking a Market Risk Quantitative Analyst with expertise in the Fundamental Review of the Trading Book (FRTB) to join a specialist market risk analytics team in London. The role focuses on the development, implementation and ongoing maintenance of FRTB capital methodologies under both the Standardised Approach (SA) and the Internal Models Approach (IMA), working across multiple asset classes. The role is open to both permanent employees and contractors.

The successful candidate will work closely with market risk, front office, finance, technology and model validation teams, translating regulatory requirements into robust quantitative methodologies and clearly documented models.

Key Responsibilities

• Develop, implement and maintain FRTB market risk capital models, including Expected Shortfall (ES), the Sensitivities-Based Method (SBM), the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO).
• Design and maintain methodologies for Non-Modellable Risk Factors (NMRF), including the Risk Factor Eligibility Test (RFET) and associated stress scenario capital.
• Support IMA desk eligibility through the P&L Attribution Test (PLAT) and backtesting, investigating breaches and failures and identifying their root causes.
• Define risk factor mappings, liquidity horizons and data requirements in line with regulatory standards.
• Prepare model documentation, methodology papers and testing evidence to support internal model validation and regulatory review.
• Specify, test and sign off system changes required to implement model enhancements, working with technology teams.
• Analyse and explain capital movements, producing clear commentary for risk management and senior stakeholders.
• Respond to regulatory queries, internal audit requests and ad-hoc analysis relating to market risk capital.

Technical Competence

Required

• Degree to MSc level or above in Mathematics, Physics, Statistics, Quantitative Finance, Engineering or a related quantitative discipline.
• Practical experience of FRTB, including working knowledge of the SA and IMA frameworks.
• Experience in market risk modelling, such as Value at Risk (VaR), Stressed VaR or Expected Shortfall methodologies.
• Sound understanding of derivatives pricing and risk sensitivities (delta, vega and curvature) across one or more asset classes, such as Rates, FX, Credit, Equities or Commodities.
• Programming experience in Python, with the ability to build analytical tools, prototypes and testing frameworks.
• Experience with SQL and handling large market and risk datasets.
• Experience supporting an IMA application, model approval or regulatory review process.
• Familiarity with related regulatory frameworks, such as Basel III, CRR or the PRA's market risk requirements.
• Experience with C++ or C# within a risk or pricing library environment.
• Exposure to Counterparty Credit Risk or CVA capital frameworks (SA-CVA, BA-CVA).

Behavioural Competence

• Clear written and verbal communication, able to explain complex methodologies and capital outcomes to technical and non-technical audiences.
• Rigorous and methodical approach to model development, testing and documentation, with close attention to detail.
• Analytical problem-solving, able to investigate test failures and capital movements through to their root cause.
• Collaborative working style across risk, front office, finance, technology and validation teams.
• Ability to prioritise and manage competing demands against regulatory and project deadlines.
• Self-motivated and able to work with a high degree of autonomy as well as within a team.

We are committed to a diverse and inclusive workplace where all individuals are respected and valued. We welcome applicants from every background and uphold equality across all characteristics. Diversity drives innovation and strengthens our ability to deliver exceptional results. Our aim is an environment where everyone can thrive and contribute to collective success.