Quantitative Risk Manager in FINANCIAL RISK & RESILIENCE

• Leeds, United Kingdom
• London, United Kingdom

Job Description

The Bank operates a three lines of defence model for the management of risk. The second line resides within the Risk Directorate, led by ED Risk who reports to the Governor. The Vision of the Bank’s Risk Directorate is “to enable the Bank to take risk confidently by making sure it is managed within appetite”. The Directorate supports risk taking required in business areas to deliver the Bank’s mission and shares accountability for risk judgements.

We support the Bank’s first line in assessing, in a pragmatic way, the risks involved in delivering desired outcomes, optimising material controls, and embedding a culture of confident, informed risk-taking. Our work is grounded in a deep understanding of the Bank’s objectives and a commitment to enabling confident, well-informed decision-making.

Division Overview

The Financial Risk & Resilience Division (FRRD)

The role of the Financial Risk & Resilience Division (FRRD) is to provide forward-looking assessment and challenge of financial risk across all activities managed by the Bank, so that it can achieve monetary and financial stability without putting public funds at greater risk than necessary. In discharging its responsibilities, the division acts as an independent expert counsel to the Governor, Court and ARCo on financial risks.

Job Description

Your role is a high profile role and you will be responsible for the key financial risk modelling decisions and model validation in FRRD and will be presenting the team work to executive and non-executive Risk Committees and Court.

Your role will be part of the Risk Methodology Team, which is responsible for Model Development and Model Validation, especially to manage the development and implementation of risk models, and the validation of risk and pricing models developed by the front line.

Your specific responsibilities will be:

• Develop models for measuring and reporting financial risks to the Bank balance sheet.
• Perform formal validation of pricing and risk model developed by the Markets areas of the Bank.
• Explain the models to senior committees in non-technical language.
• Technical expertise. The role holder will provide technical guidance to colleagues within the division on modelling and risk methodologies, as well as representing the division in Bank-wide fora.
• Staff management: The role holder will have line management responsibilities for 2 analysts, including overseeing their work, mentoring them on modelling techniques, and conducting annual performance reviews.
• Work with other parties such as technical experts elsewhere in the division, or the wider organization, to apply their expertise to the Bank’s own risk models; lay out scope and terms of reference for such interventions

Reporting Line

You will report to the Senior Manager, Risk Methodology Team.

Role Requirements:

• Demonstratable communication skills: both written and oral, that cut through complexity, convey technical information for a non-technical audience and explain trade offs involving the Banks policy or organisational priorities.
• MSc level knowledge of financial mathematics, including stochastic calculus, statistics, and econometrics.
• Proficient in Python
• Solid understanding of asset pricing theory and the ability to derive pricing and sensitivity calculations for a range of asset classes, in particular interest rates and credit products.
• Ability to lead in a manner which is human, humble and in step with the changing world, fostering an open, inclusive and curious environment.
• Strong stakeholder influencing skills: track record of influencing decisions and delivering impactful outcomes for the organisation, navigating complex trade offs inherent in the nature of the Bank’s work
• Good inter-personal skills, and the ability to develop good working relationships with a wide range of stakeholders
• Good writing and oral presentation skills
• Collegiate approach to teamwork, focussing on collective objectives and deliverables
• Ability to challenge colleagues in an objective but constructive and collegiate manner
• An understanding of and interest in the Bank of England’s balance sheet, policy purposes, and operations, including the ability to understand and articulate the policy/risk trade-offs inherent in the management of a central bank’s balance sheet.
• Proficient in C++, R, Matlab
• Experience in modelling mortgage backed securities.
• Experience of setting a strategy, leading those that manage others, and tangibly improving diversity and inclusive culture

Our Approach to Inclusion

The Bank values diversity, equity and inclusion. We play a key role in maintaining monetary and financial stability, and to do that effectively, we believe we need a workforce that reflects the society we serve.

At the Bank of England, we want all colleagues to feel valued and respected, so we're working hard to build an inclusive culture which supports people from all backgrounds and communities to be at their best at work. We celebrate all forms of diversity, including (but not limited to) age, disability, ethnicity, gender, gender identity, race, religion, sexual orientation and socioeconomic status. We believe that it’s by drawing on different perspectives and experiences that we’ll continue to make the best decisions for the public.

We welcome applications from individuals who work flexibly, including job shares and part time working patterns. We've also partnered with external organisations to support us in making adjustments for candidates and employees in the recruitment process where they're needed.

For most roles where work can be carried out at home, we aim for colleagues to spend half of their time in the office, with a minimum of 40% per month. Subject to that minimum requirement, individuals and managers should work together to find what works best for them, their team and stakeholders.

Finally, we're proud to be a member of theDisability Confident Scheme . If you wish to apply under this scheme, you should check the box in the ‘Candidate Personal Information’ under the ‘Disability Confident Scheme’ section of the application.

Salary and Benefits Information

We encourage flexible working, part time working and job share arrangements. Part time salary and benefits will be on a pro-rated basis as appropriate.

This role offers a salary as follows:

In addition, we also offer a comprehensive benefits package as detailed below:

• Currently a non-contributory, career average pension giving you a guaranteed retirement benefit of 1/80th of your annual salary for every year worked. There is the option to increase your pension (to 1/65th) or decrease (to 1/105th) in exchange for salary through our flexible benefits programme each year. The Bank has the discretion to vary standard accrual rates and dial up and dial down rates at any time and to withdraw dial up and dial down options at any time.
• A discretionary performance award based on a current award pool.
• An 8% benefits allowance with the option to take as salary or purchase a wide range of flexible benefits.
• 26 days’ annual leave with option to buy up to 12 additional days through flexible benefits.
• Private medical insurance and income protection.

National Security Vetting Process

Employment in this role will be subject to the National Security Vetting clearance process (and typically can take between 6 to 12 weeks post offer) and the passing of additional Bank security checks in accordance with the Bank policy. Further information regarding the vetting and security clearance requirements for the role will be provided to the successful applicant, and information about how the Bank processes personal data for these purposes, is set out in theBank's Privacy Notice .

The Bank of England welcomes applications from all candidates, but as a UK Visas and Immigration (UKVI) approved sponsor, we have a responsibility to comply with the Immigration Rules and guidance. As such, our ability to employ individuals who require sponsorship for immigration purposes is limited. The Bank cannot guarantee that you and / or the role you are applying for will be eligible for sponsorship and that any application made to UKVI will be successful. Eligibility will therefore be considered on a case by case basis.

About Us

We are the UK's central bank - and we are a bank like no other; known by our peers for our world-leading thinking on policy and strategy.

Our mission is to promote the good of the people of the UK by maintaining monetary and financial stability. We seek to keep prices stable and people's money safe. We know our work matters to people, to families, up and down the UK. We are driven by curiosity and the desire to do important, challenging work.

It takes a great team to run the Bank of England. We rely on each other to play our part. We benefit from a collaborative culture and long-established flexible ways of working, supporting our colleagues balance their work and personal lives. We strive to be a place where people feel they belong and have equal access to opportunities, because different perspectives helps us make the best decisions for the public.

There's much to gain from working with us - from career defining work at the heart of the UK economy, being part of a fantastic team, and a rewarding compensation package.

Join us and find a bank like no other. Together, we can make a difference.

The Bank of England will use and protect the information you provide when you apply for a role with us, in line with our obligations under data protection law. This is so we can assess your suitability for the role and administer your application. If you’re successful we’ll use it to offer you a position and onboard you to join the Bank.

If you would like more details about how your information will be used and your information rights, please visit our recruitment privacy notice

Job Info

• Job Identification 1931
• Job Schedule Full time
• Locations Yorkshire House, Leeds, LS1 5SH, GB Threadneedle Street, London, EC2R 8AH, GB

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