Department Overview

The Bank of England is the UK's central bank. Our mission is to promote the good of the people of the United Kingdom by maintaining monetary and financial stability.

 The Markets Directorate promotes monetary and financial stability by leading the Bank’s market operations to implement monetary policy, provide liquidity insurance and manage the UK’s official foreign currency reserves (as agent for HM Treasury). In addition, we seek to leverage our role within financial markets to gather intelligence on financial market developments to help inform policymakers on the MPC, FPC and PRC.

The Markets Directorate includes 6 Divisions, which are:

• Sterling Markets
• Foreign Exchange
• Market Intelligence
• Financial Risk Management (FRMD)
• Middle Office
• Markets & Banking COO

FRMD is responsible for first-line risk management of all financial risks on the Bank’s balance sheet, including the MPC’s asset purchases and the UK’s foreign currency reserves. It is structured around three major functions – management of credit risk, management of collateral risks and management of traded risks.  We promote monetary and financial stability by: 

• Managing the Bank’s financial exposures across its sterling monetary framework (SMF) facilities, which provide liquidity insurance to banks through liquidity operations, implement monetary policy, and the Bank’s foreign currency reserves.
• With Foreign Exchange Division, manage the UK’s official gold and foreign currency reserves on behalf of the Government.
• Leading the financial risk part of designing new facilities in response to monetary and financial stability risks, so that policymakers are aware of the financial risks involved.
• This is a Manager role within the Quantitative Risk Analytics (QRA) team, which is part of FRMD. The QRA team is responsible for the development and maintenance of collateral haircut methodologies, the methodologies used for Government's foreign exchange reserves portfolio optimisation, and modelling to support all aspects of the FRMD remit.

Team Description

QRA team work alongside the Credit, Traded Markets, and Collateral Risk Management teams in FRMD to quantify and manage financial risks, and we ensure the toolkit and techniques are cutting edge and contribute to policy design.  The QRA team’s main responsibilities include:

• Designing, maintaining and improving risk methodologies for haircuts across different risk (market, credit and collateral).
• Performing analysis to better understand the financial risks managed by FRMD.
• Supporting the modelling and approach to HM Treasury’s asset allocation decisions for foreign currency reserves.
• Acting as a centre of analytical expertise, building analytical tools and providing advice to support policy development across Markets.
• Support collateral risk analysis and reporting, and cross-divisional priorities – for example incorporating the climate risks in our risk management approaches.

Job Description

The role requires a blend of managerial skills, strong technical knowledge, financial analysis and solid judgment with a focus on credit and collateral modelling responsibilities.  As a manager in the team, you will work closely with other managers, the Senior Manager and Head of Division on the following: 

• Influence the strategic priorities for the team, and the methodology development and review agenda.
• Apply your technical expertise to lead, and deliver through the team, the development and improvement of risk model methodologies for haircut valuations.  This includes methodology reviews, seeing  them through internal governance, validation and audit.
• Lead the team in delivering analysis of large datasets, and applying modelling tools, to improve FRMD’s understanding of the risks from eligible collateral.  This includes advising and supporting the Credit and Collateral risk management teams; and analysing and valuing portfolios of different types of collateral under a range of stress scenarios.
• Apply your technical knowledge to inform and influence the Bank's policy frameworks, including the Bank's approach to risk management, and model, market and liquidity risks;
• Management of internal systems and databases, working across directorates and technology to ensure their operational efficiency.
• Lead and manage your team to produce high quality, clear and accessible  analytical papers, briefings, and methodology documentation, and present these to Senior Committees.
• Engage with stakeholder across the Bank’s, particularly the second line risk management division for the validation and challenge of new models and methodologies, and with broader technical experts to improve FRMD’s own methodologies.
• Coach, mentor and support staff in their development

 The role includes direct line management responsibilities for 2-3 members of staff. 

 Essential Requirements

• Recognised academic qualification(s) in a quantitative subject and MSc level knowledge (or equivalent professional qualification) in financial mathematics, statistics, or econometrics
• Strong knowledge of modelling techniques, in particular methods used for risk measurement
• Expert knowledge of structured finance and cashflow modelling, ideally with a focus on residential mortgages
• Leading and delivering analytical projects with minimal oversight, working collaboratively and inclusively to deliver high quality outputs on schedule
• Excellent organisational and prioritisation skills
• Excellent written and verbal communication skills to communicate complex methodologies clearly and effectively, in writing and in person, to Senior Committees.

Desirable Skills

• Proficiency in at least one programming language (e.g. R, Python or Matlab)
• Experience in managing and coaching junior analysts and an interest in developing staff
• Ability to build collaborative relationships and influence seniors
• Knowledge of data analytics and visualisation packages such as Tablea