Senior Market Risk Quant (VP)

Ref: SMRQ-2801
£££ Highly Competitive Salary Package including excellent bonus
Leading Global Investment Bank
VaR, stressed VaR, RniV and IRC model. FRTB (Internal Model, P&L attribution test, NMRF)

Our client, a leading Investment Bank, seeks a senior quant for their Market Risk Analytics group in London. The group define the methodologies for market risk metrics (e.g. VaR, Expected Shortfall) and lead the market risk model infrastructure and regulatory compliance.

They seek a quant with strong market risk models experience to develop market risk models under FRTB and embrace the opportunity to learn deeply about the new market risk regulations whilst working closely with the Head of Market Risk Methodology.


  • Create/enhance market risk models under FRTB
  • Contribute to the methodology and implementation design of market risk models
  • Providing technical guidance on Market Risk Model matters including FRTB and CRR rules
  • Analyze model performance metrics such as backtesting and P&L attribution test
  • Supporting risk managers in all queries related to VaR and other portfolio risk metrics
  • Liaising with key business stakeholders on Market Risk Model changes
  • Maintain & enhance existing VaR, stressed VaR, RniV and IRC model development


  • Advanced degree, or equivalent, in a quantitative subject, mathematics or statistics
  • A good understanding of risk management and portfolio management (VaR & CVaR, Expected Shortfall, CVA, etc)
  • 5-10 yrs+ in the industry with knowledge of FX and commodities but flexible as to background
  • FRTB SME (Internal Model, P&L attribution test, NMRF)
  • VaR model enhancement, support and development
  • Has exercise sound judgment in assessing the strengths and weaknesses of modelling 
  • Has experience with simulation methods and statistical model development
  • Excellent technical writing skills


  • Clear understanding of market risk regulations and the ability to speak to educate a variety of stakeholders on these topics
  • Able to articulate the methodology and recommend changes in a concise manner to senior stakeholders
  • Previous experience in cross industry FRTB forums would be desirable
  • R, Python or Haskell development experience would be advantageous but not essential