*Applications are now closed*
Location: London, Threadneedle Street
Opportunity: Supported hiring, with flexible working
Apply by: 8 November 2021
The Bank of England is the UK’s central bank. Their mission is to deliver monetary and financial stability for the British people.
The Bank of England is a diverse organisation. Each of its 4,000 plus people are committed to public service and dedicated to promoting the good of the people of the United Kingdom by maintaining monetary and financial stability.
The Bank is recruiting a Senior Risk Specialist – Traded Risk Measurement, within the Supervisory Risk Specialists (SRS) Directorate and welcomes professionals who have taken an extended career break to apply for this permanent role. A successful hire who has taken a career break of 2+ years will receive coaching support through the transition period from Women Returners.
The Bank has hired a large number of returners over the last few years. Read Melissa’s story here. Learn more about working at the Bank here.
The Bank is fully committed to having a diverse and inclusive working environment, and are open to considering how the role might be carried out with flexible working. This role is therefore open to flexible working patterns.
About the Supervisory Risk Specialists Directorate
On 1 April 2013 the Prudential Regulation Authority (PRA) became responsible for the prudential regulation and supervision of banks, building societies, credit unions, insurers and major investment firms. The PRA was created by the Financial Services Act (2012) and is part of the Bank of England.
As a directorate of the PRA, the Supervisory Risk Specialists (SRS) provides deep technical expertise and applies judgement in specific risk disciplines as part of the PRA’s integrated supervisory approach, in order to identify, analyse and mitigate material risks to the safety and soundness of PRA regulated firms. These material risks can arise within and across firms and from the market environment.
SRS is split into four main divisions:
- Credit Risk (CRD)
- Operational Risk & Resilience Division (ORRD)
- Risk Analytics, Liquidity and Capital (RALC)
- Traded Risk (TRD)
Department Overview
TRD comprises subject matter specialists in trading risk, market and counterparty credit risk management, risk measurement, and product, valuation and general trading controls. Its role covers firms’ trading activities in the wholesale cash and derivative markets, and their risk management, measurement and control activities in the front, middle and back office functions. Its purpose is to evaluate and assess firms’ competence in these areas, assess regulatory internal model applications (and material model changes), and support the bank’s Policy directorate.
TRD is split into four teams:
- Front Office Review (FORT)
- Valuations & Controls (VCT)
- Traded Risk Management (TRMGT)
- Traded Risk Measurement (TRMST)
Traded Risk Measurement
The Traded Risk Measurement Team (TRMST) is a specialist review team that focuses on firms’ modelling and capitalisation of the market risks that arise from trading activities in the financial markets, and the counterparty credit risks that arises from trading in over-the-counter (OTC) and exchange traded derivatives, repo, reverse repo, and securities financing transactions. The team also covers firms’ measurement of credit valuation adjustment (CVA) risks for derivatives portfolios, and in particular its capitalization.
The team’s areas of expertise include:
- The measurement and modelling of market, counterparty and CVA risks arising from firms’ trading books. In particular, the team is responsible for the review of new internal model applications, and material model changes, for market risk (IMA) and counterparty credit risk (IMM) models
- The assessment of the adequacy of capital requirements for market, counterparty and CVA risk under both advanced (internal models) and standard methods; and
- Model risk management practises, including model validation
- The team also provides technical support to Policy on regulatory requirements for market, counterparty and CVA risk, and more general support to other parts of the Bank in relation to models. A notable area of policy focus is the new market risk regulatory rules for internal models, the so-called fundamental review of the trading book (or FRTB)
About the Role
The role is project based and will involve a mixture of firm-specific reviews, and cross-industry thematic reviews. Recent projects include the impact of LIBOR risk-free rate transition on interest rate modelling, the calibration of default risk models (IRC), and the performance of IMA/IMM models during the Covid market stress.
The key elements of the role include:
- Leading and collaborating with TRMST and TRD colleagues on firm-specific and cross-industry thematic reviews to assess firms’ modelling capabilities, through detailed analysis of model documentation, model performance testing, and model validation information provided by firms and meetings with firms’ senior executives
- Identifying and developing issues into practical outcomes, and communicating these to PRA and firm senior management
- Analysing the results of assessments in the context of an individual firm’s overall management of model risks, and its supervision by the PRA
- Establishing and developing relationships within the PRA to facilitate knowledge sharing, teamwork and collaboration
- Depending on the candidate’s experience, responsibilities could also include providing technical support to Policy on regulatory requirements for market, counterparty and CVA risk
Role Requirements
Minimum Criteria:
- Extensive experience of working in quantitative fields such as traded risk related modelling or validation roles with respect to market risk and/or counterparty credit risk. This experience will have been gained within a large international bank, a major consultancy or another regulator
- Experience and in-depth understanding of financial markets and instruments, and of the trading environment. For example, familiarity with a range of cash and derivative products, preferably across a number of asset classes (rates, credit, equity, FX, commodity)
- Established record of successful, impactful project based work on traded risk models. Proven track record in interpreting and synthesising large amounts of data quickly to reach informed judgements
Essential Criteria:
- In-depth understanding of the measurement of market and/or counterparty credit risk, and the monitoring of model risks
- Good understanding of, and the ability to distinguish between, robust and weak risk measurement standards and practices within large investment banks
- Good understanding of relevant regulatory requirements and industry standards and practices. For example, the internal models policy framework for market risk and/or counterparty credit risk
- Good knowledge of the UK financial system and global investment banking
- Strong work ethic, with the ability to work independently, take ownership and drive projects to a successful completion
- Strong written and oral communication skills for reports and presentations to PRA and firm executives, including the ability to present complex issues clearly
- Excellent analytical, problem solving and decision-making skills
- Strong interpersonal and influencing skills, and the ability to build effective working relationships
- Ability to empathise with colleagues and demonstrate diverse and inclusive values
Desirable Criteria:
- Post-graduate degree or professional qualification (e.g. CFA, MBA, FRM) in a quantitative or finance-related subject
Reward Package
The Bank of England is a distinctive institution and their rewards are one of the things that set them apart. As well as enjoying a competitive salary you will work in a collaborative, inclusive environment, with a subsidised restaurant, flexible working opportunities and plenty of wellbeing initiatives.
The salary range for this vacancy is approximately £59,400 to £82,800 , dependent on relevant skills and experience. In addition, the total reward package also includes:
- A non-contributory, career average pension giving you a guaranteed retirement benefit of 1/95th of your annual salary for every year worked There is the option to increase your pension (to 1/50th) or decrease (to 1/120th) in exchange for salary through our flexible benefits programme each year
- A discretionary performance award based on a current award pool
- A 7% benefits allowance with the option to take as salary or purchase a wide range of flexible benefits
- 25 days annual leave with option to buy up to 13 additional days through flexible benefits
- Private medical insurance and income protection
About the Bank of England
As a place of work, the Bank feels different from most other organisations. The atmosphere is relaxed but professional, research-driven and also very much connected to real events in the economy. While organisations in the private sector are focused primarily on profits, the ultimate objectives for the Bank are always the quality of thinking and the rigour of analysis. This makes for an unusually satisfying place to develop your career. Whichever area of the Bank you join, you will almost certainly be working on high-profile and high-impact projects. The issues they deal with on a daily basis are often in the news headlines, and have implications for everyone in the country. For many of their people, this sense of contributing to the public good is one of the most rewarding aspects of working there.
The environment is extraordinary too: a historic building located in the heart of the City, which combines rich tradition with up-to-date technology and facilities. Just as importantly, they have a strong culture of support that exists within each of their teams and across the organisation as a whole.
To Apply
Please apply using the link below ensuring that you answer all the application questions, complete the work history and submit your CV, per the guidance below.
Apply asap. The closing date for applications is 8 November 2021.
IMPORTANT: When completing your application:
- For the ‘Source name‘ question it is essential you select ‘Women Returners’ so the Bank can identify you as a returner and know you are applying on a supported hiring basis.
- Due to the anonymised application process followed by the Bank (detailed below) it is essential to include your career break with dates in your work history, in the area of online free form text.
The Bank anonymises applications so hiring managers will not be able to see your personal information including your CV or any covering letters when reviewing your submission. Please complete fully the work history and application form questions as requested, as any inomplete submissions may not be reviewed.
The Bank values diversity and inclusion – they want to reflect the society they serve better, they want the best people to work for them and they want their workplace to be inclusive. They value all forms of diversity, including but not limited to age, disability, ethnicity, gender, gender identity, race, religion and sexual orientation. One way they support diversity and inclusion is through their staff-run networks, which are summarised here.
They are also committed to making workplace adjustments for all of their employees as needed, and also for candidates throughout all stages of the selection process. They are a member of the Disability Confident scheme, summarised here, and people who wish to apply under this scheme should check the box in the ‘Candidate Personal Information’ under the ‘Disability Confident Scheme’ section of the application.