Posted on May 5, 2021 by CV-Library
Quantitative Analyst required to work with a Government Department. This is a permanent role, paying £52,500 plus benefits.
SC Cleared or eligible for SC Clearance required
The Principal Quantitative Analyst will run substantial strategic research projects, from scope to delivery, with significant technical challenges and in consultation with senior managers. Foremost will be the analytical work to enhance our portfolio risk modelling adopting the IFRS9 and IFRS17 standards. The analysis performed may require the use of operational research and analytical techniques, statistical (including econometric) or mathematical modelling, or broader management science techniques.
The role will include line management responsibilities, ensuring that all regular staff management, reporting, and training requirements are met, and standards complied with. The Principal Quantitative Analyst will have the opportunity to become a member of the Government Operational Research Service (GORS), a Civil Service-wide profession offering opportunities for development and knowledge transfer across government.
Portfolio Risk Management and model development:
*Manage, develop and maintain portfolio risk modelling in the form of the Portfolio Risk Simulation Model (PRISM) and the PRISM process. PRISM is a business critical model, underpinning monitoring against financial objectives.
*Apply appropriate financial knowledge and risk management practices, including Value at Risk modelling and stochastic modelling (including Monte Carlo simulation techniques).
*Oversee and/or conduct stress testing, reverse stress testing, and scenario analysis exercises, both regularly and on an ad hoc basis as required by the Executive Committee and Board.
*Provide and/or review portfolio risk analysis and value for money assessments for Active Portfolio Management (APM) activities. APM activities include monitoring risk concentrations, analysing value for money in reinsurance exercises, and providing other ad hoc analytic support.
*Oversee and undertake regular reviews of PRISM assumptions and prepare papers for presentation to the Enterprise Risk and Credit Committee (ERiCC).
Major Project Related Work:
*Financial Reporting Changes: this project will bring the department in line with new financial reporting standards (IFRS 9 and 17). This will have a huge impact in portfolio risk management, including significant changes to portfolio risk modelling and processes to incorporate the impacts of macro-economic factors on future risk. The successful candidate will oversee and undertake analysis and development work in the portfolio risk area related with to this project.
Project and team management:
*Engage with customers across the department to determine their model development needs.
*Plan out development tasks and ensure that appropriate quality assurance is performed.
*Build the team's knowledge of finance, mathematical and financial modelling, pricing and risk structures, and relevant OECD arrangements.
*Liaise with Treasury, UK Government Investments (UKGI), and other Agencies around the world about portfolio risk management practices.
Internal Consultancy and Data Science/AI leadership:
*Investigate problem areas and/or undertake analysis for other divisions, to support change that is too complex for them to carry out on their own.
*Quality reviews for other divisions where in-depth, cross-divisional knowledge or particular technical expertise is required.
*Undertake continual professional development to expand the suite of tools and techniques that we can use as internal consultants across the department. We are currently interested in expanding our R, python, and data science expertise.
*Help lead development of data science, particularly through identification and implementation of machine learning/AI applications.
Essential skills required
*Multiple analytical research methods and techniques (examples could include Monte Carlo simulation, econometrics, Value at Risk modelling, stress testing, data science).
*Strong analytical, problem-solving and problem structuring skills.
*Oral and written communication skills, including the presentation of results and explaining complex concepts to non-specialists.
*Microsoft office applications, including good Excel skills.
*Good attention to detail.
*Negotiation and relationship management.
*The ability to build productive working relationships and work within a team.
*Application of suitable forms of analysis, including selection of techniques and models
*Basic coding skills in a computer software language such as VBA, R, Python, or similar
*Experience of IFRS implementation at a public or private financial institution.
*Significant demonstrable experience in an analytical or research role using a range of analytic or research methods and techniques
*A numerate degree (minimum 2:1, or a 2:2 with relevant work experience or a postgraduate qualification). Typically, these include operational research, mathematics, physics, econometrics, engineering or management sciences, but the list of subjects considered is left open.
*Evidence of Continuing Professional Development
Please apply should you meet the above criteria
Badenoch + Clark acts as an employment agency for permanent recruitment and an employment business for the supply of temporary workers. Badenoch + Clark UK is an Equal Opportunities Employer.
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