Quant Analyst – FRTB IMA (Front Office Model Focus)

Quanteam UK; Bengaluru; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

A financial services firm is seeking a Quant Analyst with over 5 years of experience to support pricing and risk model initiatives aligned with the FRTB Internal Models Approach. The ideal candidate will have a strong background in derivatives pricing models and a thorough understanding of model sensitivities. Responsibilities include enhancing pricing models, assessing risks, and collaborating with various teams to ensure model robustness in a regulatory environment.

Qualifications

• 5+ years’ experience in quantitative modelling within Front Office or Model Validation.
• Strong knowledge of derivatives pricing models across asset classes.
• Solid understanding of model sensitivities and risk metrics.

Responsibilities

• Analyse and enhance pricing and risk models within FRTB IMA context.
• Assess model sensitivities and risk factor mapping.
• Support model performance analysis and regulatory-driven enhancements.

Skills

Derivatives modelling expertise

Analytical mindset

Attention to detail

Programming in Python or C++

Job description

We are seeking a Quant Analyst (5+ years’ experience) to support initiatives aligned to the FRTB Internal Models Approach (IMA) framework.

This role requires strong derivatives modelling and pricing expertise, with candidates coming from a Front Office Model Quant or Model Validation background. While prior FRTB / IMA exposure is beneficial, deep understanding of pricing models and risk sensitivities is the key requirement.

Key Responsibilities

• Analyse and enhance pricing and risk models within an FRTB IMA context.
• Assess model sensitivities, risk-theoretical P&L (RTPL), and risk factor mapping.
• Support model performance analysis and regulatory-driven enhancements.
• Partner with Front Office, Risk, and Model Validation teams to ensure model robustness.
• Contribute to documentation and governance aligned to internal model approval standards.

Technical Expertise & Competencies Required

• 5+ years’ experience in quantitative modelling within Front Office or Model Validation.
• Strong knowledge of derivatives pricing models across one or more asset classes (Rates, FX, Credit, Equities, Commodities).
• Solid understanding of model sensitivities and risk metrics.
• Programming proficiency in Python, C++, or similar.
• Prior exposure to FRTB IMA, market risk models, or regulatory capital frameworks.
• Experience with risk model performance assessment or capital impact analysis.
• Strong analytical mindset with attention to detail.
• Ability to bridge quantitative theory with regulatory and risk requirements.
• Comfortable working in a cross-functional, high-stakes regulatory environment.