Quant Analyst - FRTB IMA (Front Office Model Focus)

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.