We are looking for a Risk Analytics professional to join a leading investment banking client supporting their FRTB IMA (Internal Models Approach) implementation program. This role is ideal for candidates with strong quantitative risk background, solid understanding of FRTB IMA methodology, and hands-on Python skills.
Key Responsibilities
- Support FRTB IMA methodology implementation and enhancements
- Develop and enhance market risk models (VaR, Expected Shortfall, sensitivities)
- Work on P&L Attribution (PLA/PAT) and Risk Factor Eligibility Test (RFET) frameworks
- Perform quantitative analysis on market data and time series
- Build and maintain Python-based analytics tools and data pipelines
- Partner with Risk, Quants, Technology & Front Office teams
- Analyze model performance and support regulatory compliance (Basel / BCBS)
- Assist in UAT and testing
Must-Have Skills
- Strong understanding of FRTB IMA methodology
- Experience in Market Risk Analytics / Model Development
- Hands-on experience with:
+ VaR / Expected Shortfall (ES)
+ Time Series & Market Data analysis
+ Risk metrics & sensitivities - Experience working with large datasets and quantitative models
- Solid understanding of Basel / FRTB regulations
Preferred / Nice to Have
- Hands-on experience in FRTB IMA implementation
- Experience with PLA (P&L Attribution) and RFET frameworks
- Familiarity with risk platforms (Murex, Calypso, Athena, in-house systems)
- Knowledge of statistical / stochastic modelling techniques
- Experience in Agile or global delivery environments
Education
- Bachelor's / Master's (or higher) in Mathematics, Statistics, Finance, Engineering, or related quantitative field
Strong understanding of FRTB IMA methodology - Experience in Market Risk Analytics / Model Development
- Hands-on experience with:
+ VaR / Expected Shortfall (ES)
+ Time Series & Market Data analysis
+ Risk metrics & sensitivities - Experience working with large datasets and quantitative models
- Solid understanding of Basel / FRTB regulations
Preferred / Nice to Have
- Hands-on experience in FRTB IMA implementation
- Experience with PLA (P&L Attribution) and RFET frameworks
- Familiarity with risk platforms (Murex, Calypso, Athena, in-house systems)
- Knowledge of statistical / stochastic modelling techniques
- Experience in Agile or global delivery environments, Bachelor's / Master's (or higher) in Mathematics, Statistics, Finance, Engineering, or related quantitative field
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FRTB SME/Risk Analytics Specialist employer: CRISIL Limited
CRISIL Limited is an excellent employer that fosters a collaborative work culture, encouraging innovation and professional growth. As a Senior Risk Manager, you will benefit from comprehensive training programs and opportunities to work alongside industry experts in a dynamic environment, all while being part of a company committed to regulatory excellence and risk management best practices.
