Quantitative Analyst

London, United Kingdom
Ref: 86585 Contract: Full-Time Posted: 22/05/19 Closes: 10/07/19

Join NatWest Markets in London as a Quantitative Analyst

  • We're looking for a qualified and experienced quantitative analyst to work on the development of market risk and counterparty credit risk models
  • With increasing regulatory requirements – such as FRTB, SA-CCR and SA-CVA – the team is looking for additional members to work closely with front office, finance and other risk functions
  • This role is available on a permanent basis up to Associate level

What you'll do

As a Risk Management Quantitative Analyst, you'll work on traded risk model development with a focus on internal models used for measuring market risk – such as VaR and expected shortfall – or counterparty credit risk – such EPE and PFE.

You will:

  • Develop new risk models, and maintain or enhance existing models used for market risk and counterparty credit risk measurements
  • Ensure the models meet new business and regulatory requirements, such as FRTB
  • Take part in prototyping, performance testing and backtesting models using Python or other programming languages
  • Liaise with front office quants, traders, market and credit risk managers, model validation quants, business analysts and developers to provide guidance on models, implementation, and associated risks

The skills you'll need

We're looking for someone with experience in modelling market or counterparty credit risk with a strong mathematical background, ideally with good knowledge in probability, quantitative finance, numerical methods, multivariate statistics and time series analysis. Experience with pricing models used for derivatives across asset classes would also be desirable.

You'll also need:

  • A degree in a highly numerate discipline, such as Mathematics, Physics or Engineering, with a post-graduate research-based degree an advantage
  • Experience of modelling dynamics of risk factors across several asset classes – in particular, interest rates, FX and credit – and collateral in a market or counterparty credit risk context
  • Familiarity with concepts such as HPL, RTPL, CVA, and CSA
  • Good understanding of relevant regulations such as FRTB, SA-CCR and SA-CVA

We'll also expect the following skills:

  • Excellent problem solving and analytical skills, with the ability to identify key issues in a complex system
  • Good communication, documentation, and inter-personal skills; fluent in English
  • Strong programming skills, such as Python and C#
  • The ability to work to tight deadlines and under pressure
  • The ability to clearly communicate quantitative concepts to other stakeholders and committees
  • A self-motivated, team-orientated approach

How we'll reward you

In return, we offer a competitive salary and you'll also join our retirement savings plan. You can also choose from a selection of protection, healthcare or lifestyle extras from RBSelect, our fully flexible reward programme.

Visit our reward and benefits page for more information on the benefit packages we offer.


At NatWest Markets we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, we’ll do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles.

As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, you’ll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks.

Salary: Competitive

Location: London

Closing Date: 10/07/19