Overview The main purpose of this role is to be a Market Risk Quant Analyst in the Market Risk Analytics (MRA) team. The MRA team has members based in London and Singapore. MRA is in charge of the definition of methodologies for portfolio market risk metrics (eg VaR, Expected Shortfall); supervision of the market risk model infrastructure and compliance with regulatory requirements. Key Responsibilities will include: The development of market risk models under FRTB. Contribute to the methodology and implementation design of market risk models. Providing technical guidance and expertise on Market Risk Model related matters including FRTB and the current CRR rules. Analysing key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT). Liaising with key business stakeholders on Market Risk Model changes Maintenance and enhancements of existing VaR, stressed VaR, RniV and IRC models. Skills and Experience Advanced degree, or equivalent, in a quantitative subject, mathematics or statistics A good understanding of risk management and portfolio management (HisSim VaR, Expected Shortfall, CVA, etc) Must have a good understanding of financial instruments such as interest rates, FX and commodities Must have a quantitative background within financial markets Must have a strong background in Market Risk Methodology Must have detailed understanding and working knowledge of FRTB Must have recent and in-depth experience of managing the internal VaR model