Department Overview

The Risk Directorate is the independent second line risk function for oversight and challenge across the Bank’s risk profile.  We are responsible for making sure that the Bank’s risks are managed.  The Risk Directorate covers both financial and non-financial risks and houses the Bank’s central compliance function.  There is also a dotted line from the Internal Audit department into the Risk Directorate.

The Risk Directorate achieves its mission principally through the following five activities:

1.         Articulating risk tolerance for the Bank.

2.         Detection, monitoring and assessment of risks.

3.         Providing independent expert risk opinions.

4.         Ensuring compliance is imposed across the Bank.

5.         Promoting a strong risk and compliance culture across the Bank.

The Financial Risk & Resilience Department (FRRD):  FRRD exists to provide forward-looking assessment and challenge of financial risk across all activities managed by the Bank. 

FRRD is responsible for:

• Detecting vulnerabilities of the Bank’s balance sheet, the APF and the EEA;

• Challenging the risk implications of new policy proposals, e.g. the design of new facilities.

• Developing methodologies to evaluate the Bank’s total current and forward-looking exposures to financial risks, including through stress testing and capital modelling;

• Articulating the Bank’s financial risk tolerance and translating it into limits and thresholds.

FRRD’s role continues to expand beyond solely analysing financial risks to the Bank’s balance sheet.  It now includes assessing the risks from an expanded monetary policy toolkit (including negative rates).

 Job Description

The role of Senior Quantitative Analyst is within FRRD’s Risk Methodology Team. The role of the team is to build and implement models and tools for the assessment of financial risk, and to validate risk and pricing models developed by the front line.

The specific responsibilities of the role are:

• Develop models for measuring and reporting financial risk.

• Perform formal validation of pricing and risk model developed by the Markets areas of the Bank.

• 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.

• Create briefings / notes for senior committees on model methodologies.

• 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

The Senior Quantitative Analyst reports to the Manager, Risk Methodology Team.

Role Requirements:

The role holder is expected to have strong knowledge of mathematics and statistics, focused on financial markets or economics. The role holder will require the following essential skills and competencies:

• MSc level knowledge of financial mathematics, including stochastic calculus, statistics, and econometrics

• Proficient in analytical coding languages, such as Matlab, Python, R

• Solid understanding of asset pricing theory and experience deriving pricing and risk calculations for a range of asset classes

• Strong analytical skills, in particular the ability to analyse data from a variety of sources, and to summarise and synthesize key findings clearly and concisely

• 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 team work, focussing on collective objectives and deliverables

• Ability to challenge colleagues in an objective but constructive and collegiate manner

The Bank values diversity and inclusion – we want to reflect the society we serve better, we want the best people to work for us and we want our workplace to be inclusive.  We value all forms of diversity, including but not limited to age, disability, ethnicity, gender, gender identity, race, religion and sexual orientation. 

We are 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. 

Where a role can be carried out from home, we are working towards colleagues spending at least half of their time in the office, so that we can all benefit from working together in person, while maintaining the flexibility offered by home working. From 6 June 2022, we expect colleagues to spend a minimum of 40% of their working time in the office per month.  Subject to that minimum requirement, individuals and managers should work together to find what works best for them and their team.

We are also committed to making adjustments for candidates and employees where possible, and have partnered with external expert organisations to support us in this.  We are a member of the Disability Confident scheme,  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.

We anonymise applications so hiring managers will not be able to see your personal information when reviewing your submission, including your CV. Please fully complete the application form questions as requested, as any incomplete submissions may not be reviewed.

The Bank of England is a distinctive institution and our rewards are one of the things that set us 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.  

This specific role offers a base salary of circa £45,000 - £59,000 per annum, along with our comprehensive benefits package as follows:

•    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.