We are looking to recruit a model developer to focus on the ongoing development of models and tools to support bank stress testing.
The Bank maintains a suite of models to support the ACS and other stress exercises, which we are looking to extend and improve further, in line with recent recommendations by the Bank’s Independent Evaluation Office.
STSD is jointly responsible, along with colleagues in the Bank’s Supervisory Risk Specialists (SRS) directorate, for the development of the suite.
Your key responsibilities would be the following :
Developing new models for bank stress testing. Typically model development projects take 6-12 months and involve several modellers collaborating
Ensuring that our existing stress test models remain of good quality and continue to be relevant as the economic situation changes.
This includes leading on annual validation of key models, and upgrading and re-estimating models where needed.
Running our models to inform key policy work for the Financial Policy Committee and Prudential Regulation Committee, including via the analysis phase of stress tests.
Our models are used to set expectations at the start of the process, as well as to challenge the submissions provided by reporting firms.
Contributing to work that ensures we maintain modelling standards throughout the Bank, for example by assisting with independent reviews of other analysts’ models.
Depending on your background and preferences, there may also be opportunities to become involved in research projects.
The job requires strong analytical and technical skills. We would expect our experienced modellers to have all of the following :
Proficiency in programming languages such as R, Matlab or Python
Experience in handling large datasets and extracting maximum value from them
A meticulous and robust approach to handling models, including version control and documentation
Confidence in using a range of statistical and econometric techniques. Our stress test modelling suite includes, among others, macroeconomic time series models, panel data models and structural models.
However, we would not expect you to have all of these skills at the time you apply. We would like to encourage applications from candidates with a range of backgrounds, and see what existing skillsets they would each bring to the role.
We would support the successful candidate in continuing to develop their skills, once they had joined the team.
We are fully committed to diversity and inclusion for all staff. This role is very well-suited to flexible working, including part-time and job-share arrangements.
This is something we strongly encourage and endorse in FSSR. Some members of our team work part-time. And all members have been able to work from home in recent months, and to adjust their working hours to accommodate other responsibilities.
You will also have an opportunity and receive support to work on FSSR Strategic Objective 1 on raising the diversity and depth of experience in the directorate and improving the way we work.
This can take many forms, including getting involved in local or Bankwide networks, taking part in early career recruitment rounds, delivering teach-ins and training to colleagues etc.
Minimum (Essential) Criteria
Drive and enthusiasm. A passion for supporting financial stability in the UK.
A strong technical and analytical background. You will have likely gained a postgraduate qualification in a quantitative subject, or have developed an equivalent level of expertise by investing in your own skills in previous roles.
Excellent workload management. You will need to balance long-term and short-term priorities and would often need to work on more than one project simultaneously.
Strong communication skills. In a policy institution, it is very important that modellers can explain their results and ideas to less technically-minded staff, including senior policymakers, in simple and intuitive ways.
A collaborative and open working style. Model development projects typically involve two or three modellers working together, and taking on feedback regularly from business specialists who use the outputs.
Attention to detail and an ability to solve problems, breaking down complex issues in a methodical way.
Some previous experience of modelling the impact of stress on financial institutions’ balance sheets for example credit risk or traded risk models.
Knowledge of advanced econometric techniques and interest in the recent developments in this area.
Ability to contribute to the research agenda on stress testing.
A working knowledge of the capital framework for UK banks.