Quantitative Risk Manager in Financial RISK & Resilience

• Leeds, United Kingdom
• London, United Kingdom

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,…