Front Office Quant Strat, Risk & Capital

City of London
Ref: RCQD-0403
Exceptional Package plus Front Office bonus
Top-Tier Global Investment Bank
FRTB, Risk & Capital, Front Office Strat Team

The Front Office Analytics Strat team at this Tier-1 Investment Bank is working to migrate all Global Markets businesses to the single strategic analytics platform and provides expertise in quant analytics, modeling, pricing and risk.  As an integral part of this Front Office team your focus will be on delivering cross-business functionality for Risk and Capital calculations.


  • Participate in the development of a C++ quant library across Front Office, Risk, Finance and Treasury with a particular focus on the delivery of cross-business risk management and capital calculations.
  • Participate in the development of cross-business risk and market databases, enabling all functions (Front Office & second line) to access risk and market data in a consistent taxonomy in the same analytical library.
  • Focus on rigorous production stability and accuracy of all calculations affecting the firm’s capital.
  • Depending on your quant/ modelling expertise, contribute to the modelling and definition of risk & capital calculations and work with experienced quants on the implementation of these models.

Projects currently in focus:

  • FRTB internal model (expected shortfall, default risk charge, non-modellable risk factor charge).
  • Sourcing of bank-wide sensitivities for FRTB Standardised approach model, analytical transformation into standardized representation across the full scope of asset classes, attestation of accuracy and completeness and implementation of a workflow with a well-defined SLA.
  • Development of a Market Data Utility for risk factors for bank’s Market and Credit RWA processes, definition of proxies and construction of benchmarks and various analytic functions linked to the market data (calibrations, interpolation, observability, backtesting).


  • Strong computing and programming (coding) skills, preferably C++ and Python.
  • Experience of writing production code and a strong desire to continue doing this on a day-to-day basis.
  • Strong quantitative analytic, modeling, pricing and risk management skills and experience in financial services 
  • Strong numerical, mathematical and data modelling skills.
  • If you have a more pure IT background, then demonstrable experience of working very closely with FO quants.
  • MSc / PhD in Finance, Maths, Physics, Comp Sci, Econometrics, Stats or Engineering.