Quantitative Risk Manager in Financial Risk & Resilience in Leeds

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

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

Responsibilities

• Develop models for measuring and reporting financial risks to the Bank balance sheet.
• Perform formal validation of pricing and risk models developed by the Markets areas of the Bank.
• Explain the models to senior committees in non‑technical language.
• Provide technical guidance to colleagues within the division on modelling and risk methodologies, and represent the division in Bank‑wide fora.
• Line management of two analysts, overseeing their work, mentoring on modelling techniques, and conducting annual performance reviews.
• Work with technical experts elsewhere in the division or the wider organization to apply their expertise to the Bank's risk models, laying out scope and terms of reference for such interventions.

Qualifications

• Demonstrable communication skills, both written and oral, that cut through complexity, convey technical information for a non‑technical audience and explain trade‑offs involving the Bank's 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 that 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 interpersonal 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, focusing on collective objectives and deliverables.
• Ability to challenge colleagues in an objective but constructive and collegiate manner.

Desirable Criteria

• 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.

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.

Salary
Leeds: £73,760 – £82,980; London: £81,920 – £92,160.

Benefits

• Non‑contributory, career‑average pension giving a guaranteed retirement benefit of 1/80th of your annual salary for every year worked. Option to increase to 1/65th or decrease to 1/105th in exchange for salary through the flexible benefits programme each year.
• 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 the option to buy up to 12 additional days through flexible benefits.
• Private medical insurance and income protection.

National Security Vetting Process
The role requires successful completion of the National Security Vetting Process.