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:
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.
The closing date for applications is 02 July 2021
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