Snr Quant Dev, FRTB Portfolio Risk Analytics (VP)

  • Excellent Package including front office bonus
  • Londres, Angleterre, Royaume-Uni
  • CDI, Plein-temps
  • Millar Associates
  • 17 janv. 19

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 an experienced Quant Developer to help build the FRTB part of a new strategic analytic platform for pricing and risk management

Python, C++, Market Risk RWA, implementation of FRTB


  • 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