Market Risk Specialist

Bank of England ,
London, Greater London
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Overview

Job Description

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, made up of approximately 4,000 people - each committed to public service and dedicated to promoting the good of the people of the United Kingdom by maintaining monetary and financial stability. Risk management in its broadest sense is at the core of the Bank's mission and is central to everything we do. As well as the diverse policy risks managed by the Bank's three policymaking committees, the Bank is also exposed to a wide array of financial and non-financial risks. The Risk Directorate houses the second line of defence risk and compliance functions charged with providing effective oversight of the Bank's financial and non-financial risks and ensuring compliance with its policies. The Directorate brings together various second line functions - Enterprise Risk, Financial Risk & Resilience, and the Bank's central Compliance Division, including Privacy. The Risk Directorate also includes Business Continuity Management. Department Overview Within the Risk Directorate, The Financial Risk & Resilience Division (FRRD) is responsible for financial risks. FRRD is composed of three teams, and this is a role in one of them: the Market and Liquidity Risk Team (MLRT). The role of the team is to provide forward-looking assessment and challenge of Market and Liquidity risks arising across all of the Bank's financial operations, including operations where the risk is borne by HMT. The team discharges its responsibilities through the following activities: Detect overall Market and Liquidity risk vulnerabilities and concentrations resulting from the combination of the Bank's market operations. Design and calibrate a limit structure to articulate the Bank's tolerance to market and liquidity risk, and maintain the Bank's market and liquidity risk standards accordingly. Evaluate, monitor and report periodically the total level of market and liquidity risk across all combined financial operations, against limits, highlighting key vulnerabilities. Challenge the design of any proposed new facilities or operations from the viewpoint of their impact on market and liquidity risk. Job description A unique opportunity has arisen for a strongly motivated individual to join a high profile division within a busy area of the Bank, in a diverse and challenging role. The Bank's financial operations are wide-ranging. They include the Asset Purchase Facilities used to implement quantitative easing, the Funding For Lending scheme, long-term repurchase facilities, overnight lending and deposit facilities, the provision of liquidity insurance through the discount window using pre-positioned collateral and where necessary Emergency Liquidity Assistance, the issuance of banknotes, the management of foreign exchange reserves, payments and settlements, and customer banking. This role is a unique opportunity for a highly motivated individual to apply a market risk skillset to the operations of a central bank. The Market Risk Specialist will be responsible for enabling the team to achieve its objectives by delivering the following: Challenge the design of new facilities on risk grounds. Provide support in the design of stress testing for the Bank's operations. Input into the design of the methodology and metrics to measure market risk. Take a proactive, forward-looking view of market developments and events that may have an impact on operations managed by the Bank, including those on HM Treasury's balance sheet. This covers the Bank's own balance sheet, the Asset Purchase Facility (APF) for quantitative easing, and the Exchange Equalisation Account (EEA) which holds the UK government's foreign currency reserves. Play a key challenge role in the Bank's contingency planning e.g. emergency liquidity provision, default planning, and funding in resolution. Work with other parties such as technical experts elsewhere in the organisation to apply their expertise to the Bank's own balance sheet. Role Requirements Minimum Essential Criteria Demonstrable experience of market risk management. The successful candidate will have a good level of product knowledge (e.g. sovereign and corporate bonds, vanilla rates and FX derivatives) as well as experience with the key metrics used to assess market risks arising from these products. A good understanding and practical experience of implementing / working with stress testing frameworks. Strong analytical skills, in particular ability to analyse data from a variety of sources, and to summarise and synthesize key findings clearly and concisely. Desirable Criteria Ability to operate effectively across the organisation Some coding experience in one the main languages used at the Bank (Python, R, Matlab). A good understanding of the key operations managed by the Bank, both on the Bank balance sheet and where HM Treasury bears the risk (the APF and the

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