Role overview
A high number of candidates may make applications for this position, so make sure to send your CV and application through as soon as possible.
- The role will mostly be to support the firm’s change of market risk capital model to Fundamental Review of the trading Book – Standardised Approach (FRTB-SA), consisting of Sensitivity Based Method (SBM), Default Risk Charge (DRC) and Residual Risk Add-on.
- Keys tasks will involve analysis, testing of assumptions and writing documentation for an upcoming regulatory application for model permissions, and ensuring the model is developed in line with regulatory requirements and industry best practice. Would also involve prototyping solutions where the model requires enhancement, and specifying these for the strategic implementation by Risk Technology.
- The project will involve working closely within risk analytics, front office quants, market risk management, IT developers, project management and risk model validators.
You will
- Quantitative analysis and review of model assumptions, data, and results
- Specifications for revised approach for updated approach to meet FRTB regulations
- Checking the adherence to regulatory requirements, plan changes where there are model weaknesses
- Specify and test system changes to implement improvements
- Writing risk model developer documentation
- Ad-hoc projects as required
Ideal skill set required
- Strong proficiency in Python for data analysis and modelling
- Experience in pricing; Understanding of derivatives products and pricing concepts
- Exposure to risk analytics (e.g., sensitivities, VaR, market risk metrics)
- Knowledge of financial products (swaps, options, CDS, bonds…)
- Quantitative background (Mathematics, Finance, Engineering, or similar)
- Strong analytical and problem-solving skills
- Experience with sensitivities (Greeks)
- Exposure to FRTB or broader Basel market risk frameworks
Desirable skill set
- Previous experience in FRTB Standardised Approach
- Familiarity with risk sensitivities (Delta, Vega, Curvature)
- Knowledge of asset classes such as Rates, FX, Equities, or Credit
- Experience working with large datasets or financial systems
Ideal profile
- Strong problem solving skills
- Strong numerical skills
- A structured and logical approach to work
- Excellent attention to detail
- Excellent written and oral communication skills
- Ability to clearly explain technical matters
- A pro-active, motivated approach
Who We AreOur Expertise
We provide high-impact consulting across five key domains:
- Quantitative Finance — Model design, implementation and validation.
- Risk & Regulatory — Risk frameworks and regulatory transformation.
- Data & AI — Data optimisation and AI adoption with strong governance.
- Digital & Technology — Cloud, engineering, automation and digital solutions.
- Transformation — Change management and large-scale delivery programmes.
Our Commitment
Built on excellence, collaboration and innovation, Quanteam partners with clients to strengthen resilience, accelerate transformation and build future-ready capabilities.
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. xwzovoh Our aim is an environment where everyone can thrive and contribute to collective success.
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