Description

Role Overview

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.