Front Office Quant Strat, FRTB Portfolio Risk Analytics (VP), London

Ref: QDFRTB-1412
Key role with truly Excellent Package plus Front Office bonus
Tier-1 Investment Bank
Python, C++, Market Risk, RWA, FRTB, VaR,

The Front Office Analytics Strat team at this Tier-1 Investment Bank provides expertise in quant analytics, modeling, pricing and risk with strong system architecture and programming. They now seek a Quant Developer to help build the FRTB part of a new strategic analytic platform for pricing and risk across Rates/FX/Commodities/Credit 


  • Analytics development in C++ & Python for large FRTB build - MRM, CVaR, CCR, RWA, etc.
  • Front Office prototyping in C++ & Python across Rates/FX/Commodities/Credit for FRTB Risk Factors (RF) 


  • Strong computing and programming in C++ & Python
  • Strong numerical, mathematical and data modelling skills
  • Strong quantitative analytic, modeling, pricing and risk management skills and experience in financial services 
  • Implemented task-based Risk Analytics API, desirable
  • Experience with FRTB & other Market Risk models (e.g. Expected Shortfall), CVaR, CCR
  • Strong interpersonal skills, communication & leadership skills