Quantitative Developer - FRTB
Role Title: Quantitative Developer - FRTB
Duration: 6-month contract
Location: London - Hybrid, 3 days per week onsite
About the Company
Our client is a well-established global financial institution recognised for its strong alignment between front-office trading,quantitative research and engineering teams. The firm places a clear emphasis on rigorous risk management, high-quality pricing infrastructure and pragmatic delivery to support complex derivatives activity across multiple asset classes.
Job Description
The Equity Derivatives Quant team within Global Banking and Markets is seeking a Quant Developer focused on the delivery of FRTB-driven risk and scenario generation infrastructure. The role sits at the intersection of quantitative development, large-scale data processing and model documentation, with strong interaction across trading, risk, finance and global quant teams.
Key Responsibilities:
- Design, develop and enhance FRTB calculation infrastructure, including scenario generation and large-scale risk aggregation pipelines.
- Migrate legacy models and analytics into the strategic platform.
- Support quantitative modellers with model enhancements and documentation for regulatory submissions.
- Build and maintain pricing, risk and P&L tooling around the core C++ pricing library.
- Contribute to end-of-day and intraday risk and P&L delivery aligned with FRTB mandates.
- Collaborate closely with front office, market risk and technology teams in London and internationally.
Essential Experience
- 3-7 years as a Quant Developer in derivatives or trading environments.
- Deep understanding of risk frameworks, scenario generation and large-scale data processing.
- Expert C++ (C++17) with ability to adopt Rust as the platform evolves.
- Strong Python exposure, including testing frameworks (Python-based technical round included).
- Solid understanding of equity derivative models and common pricing methodologies.
- Experience migrating quant libraries or legacy risk infra.
Desirable
- Knowledge of VaR, ES, sensitivities and regulatory capital.
- Distributed computing, serialization and performance tuning.
- Exposure to Rust is a plus.
- Strong communication and ability to engage effectively with FO stakeholders.
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