Model Developer – Bank of England Jobs Ashtead

Overview

Position Title: Model Developer

Company: Bank of England

Location: Ashtead, UK

Job Description

The SMPR team also produces high quality research in order to enhance our understanding of the financial system, to build models used in stress tests and for publication in excellent research journals. We have published several important papers on feedback and amplification dynamics (for example on contagion effects, multi-layer networks and fire sales) and interconnectedness (for instance to measure capital at risk). We are keen to continue to deepen and broaden our programme to encompass further research on feedback and amplification mechanisms, as well as research on system-wide stress simulations, the stress test framework (for instance, optimal disclosure policy and scenario design), macroprudential policy design and impact, and bank lending to the real economy in stress (see the Bank of England Agenda for Research for more information).

Responsibilities:

• Run our models to inform key policy work for the FPC and PRC. Our models are used to set expectations at the start of the stress tests, as well as to challenge the submissions provided by reporting firms in the analysis phase.
• Ensure that our existing stress test models remain of high quality. This includes leading on annual validation of key models, and upgrading and re-estimating models where needed – including ensuring that they remain relevant as the economic situation changes.
• Contribute to work that ensures we maintain modelling standards throughout the Bank, for example, by assisting with independent reviews of other analysts’ models.

Requirements:

• Some previous experience of modelling the impact of stress on financial institutions’ balance sheets – for example credit risk or traded risk models.
• Experience in handling large datasets.
• A meticulous and robust approach to handling models, including version control and documentation.
• Knowledge of advanced econometric techniques and interest in the recent developments in this area.
• Experience working on policy issues relating to financial stability.