It really depends on what you want to do.
If you want to be more of a traditional q-quant (sell side) at a bank, then this isn't the ideal path.
If you want to be more of a p-quant and work on the buy side in asset management, then this is a perfectly fine path. Add in a little more programming and you'll have a solid skill-set for the buy side.
That said, if you want to go to the buy-side, do the CFA not the FRM, unless risk management is what you want to focus on.