Risk Specialist - Traded Risk Measurement (SRS)
The Bank of England is the UK's central bank. Our mission is to deliver monetary and financial stability for the British people. As a directorate of the PRA, the Supervisory Risk Specialists (SRS) provides deep technical expertise and applies judgement in specific risk disciplines in order to identify, analyse and mitigate material risks to the safety and soundness of PRA regulated firms.
The Traded Risk Measurement Team (TRMST) is a specialist review team within the Supervisory Risk Specialists (SRS) directorate that focuses on firms’ modelling and capitalisation of the market risks that arise from their trading activities in the financial markets, and the counterparty credit risks that arises from their 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 capitalisation.
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.
Applicants will be expected to develop a good knowledge and experience of traded risk modelling practises in large investment banks, and the wider risk management frameworks related to the use of these models. In particular, as applied to regulatory capital calculations for market risk (IMA) and counterparty credit risk (IMM).
The role is project based and will involve a mixture of firm-specific, and cross-firm, thematic, reviews. Previous 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.
- Experience of working in quantitative fields, with a strong focus on the development, validation, or use of financial models. This could be from an industry (e.g. investment bank, consultancy, or regulator) or academic perspective;
- A PhD graduate with a degree in a quantitative (e.g. mathematics, physics, engineering) or finance-related subject.
- Good analytical, problem solving and decision-making skills.
- Ability to interpret and synthesise large amounts of data quickly and reach informed judgments.
- Strong work ethic, with the ability to work independently, take ownership and drive projects to a successful completion.
- Strong written and oral communication skills, including the ability to present complex issues clearly.
- Strong interpersonal and influencing skills, and the ability to build effective working relationships.