Model Developer, Stress Testing Strategy Division

  • Location

    London

  • Sector:

    Banking

  • Salary:

    £45,900 - £52,000 (subject to experience and skillset)

  • Published:

    4 months ago

  • Expiry date:

    2020-10-22

  • Client:

    #

The Bank of England is the UK's central bank. Our mission is to deliver monetary and financial stability for the British people.

The Bank of England is a diverse organisation. Each of its 3,600 people are committed to public service and dedicated to promoting the good of the people of the United Kingdom by maintaining monetary and financial stability.

The Financial Strategy and Risk Directorate (FSSR) is responsible for assessing risks to financial stability from across the financial system and defining the Bank’s strategy for responding to them. Key elements of this are: conducting financial stability risk assessment and research across all sectors and markets, to inform decision-making by FPC, PRA Board and MPC; providing support to microprudential supervisors; identifying appropriate policy responses including what macroprudential instruments the Bank needs, and designing the Bank’s strategy for their use; delivering and developing the Bank’s stress-testing framework; and developing public understanding and awareness of the FPC and establishing and delivering its framework for operation.

Department Overview

The Bank’s Financial Stability Strategy and Risk (FSSR) Directorate works towards a financial system that serves households and businesses in bad times as well as good.  The directorate is responsible for identifying cross-cutting risks to UK financial stability, assessing the resilience of the UK financial sector and developing policy solutions to ensure UK financial stability. Our work sits at the heart of the Bank of England’s mission.

Stress Testing Strategy Division (STSD) is responsible for the development and delivery of the Bank’s concurrent bank stress testing framework. The division works closely with a wide range of internal stakeholders to design stress scenarios, manage the analysis, synthesis and publication process, communicate actively with firms, and develop the infrastructure and framework behind stress testing. Importantly, that includes model development and research. The division has recently been at the forefront of delivering the Bank’s Reverse Stress Test analysis for Covid-19, and in the future will continue to lead on the delivery of the Annual Cyclical Scenario (ACS) and Biennial Exploratory Scenarios (BES). The next BES will be focused on resilience of firms to climate change.

Stress Testing Strategy Division is organised across three teams and two senior advisors. STSD staff regularly work across team boundaries, reflecting the shifting nature of demands through the stress testing cycle. This role we are advertising sits on the Scenario, Impact and Modelling (SIM) team. The SIM team leads on the design of macroeconomic stress scenarios, including the ACS, in collaboration with colleagues from across the Bank. The team also leads on developing the division’s suite of stress-testing models, and developing tools for estimating the impact of different macroeconomic and financial scenarios on banks’ capital positions. These are used to inform the results of the stress test, as well as other high-profile policy work.

Job description

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.

Role Requirements

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.


Desirable Criteria

  • 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. 

We anonymise applications so hiring managers will not be able to see your personal information, your original CV or any covering letters when reviewing your submission.  Please complete work history and the applications form questions as requested because incomplete submisssions will not be reviewed.  

We continue to build an inclusive culture where everyone can be their whole selves and produce their best work. Our focus on inclusion is intended to build greater diversity in order to reflect the society we serve and be an employer of choice.

This specific role offers a salary of £45,900 - £52,000 (subject to experience and skillset).

The total package also includes:

  • A non-contributory, career average pension giving you a guaranteed retirement benefit of 1/95th of your annual salary for every year worked.

  • A discretionary performance award based on a current award pool and target award of 10%, with a maximum potential award of 25%

  • 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 insurance

The closing date for applications is 22 October 2020.