Modelling Specialist

2022 - Chief Operating Office; London; Hybrid; GBP 39,000 - 52,000; Full time

Job summary

Join Virgin Money as a Climate Risk Stress Testing Specialist in the Credit Stress Testing Modelling team. This pivotal role focuses on developing and monitoring climate stress testing models to forecast loan loss provisions. With generous benefits and a commitment to an inclusive culture, this is a chance to make a meaningful difference in financial services.

Benefits

38.5 days annual leave

Up to five extra paid well-being days

20 weeks paid, gender-neutral family leave

Market-leading pension

Free private medical cover

Flexible benefits

Qualifications

• Knowledge of Climate risk model methodologies and stress testing frameworks.
• Strong model development experience in stress testing.
• Understanding of climate-related regulations and reporting standards.

Responsibilities

• Leading the development of climate stress testing models.
• Supporting implementation changes in Stress Testing Engines.
• Collaborating with teams for managing credit stress testing models.

Skills

Climate risk model methodologies

Model development

Analytical ability

Communication skills

Tools

SAS

R

Python

Job description

Business Unit:Risk Analytics Centre of Excellence
Salary range: £39,200 - £52,000 per annum DOE+ red-hot benefits
Location:UK Hybrid, attendance to London HUB 1x per week.
Contract type: Permanent

Our Team

We have an exciting opportunity in our Credit Stress Testing Modelling team in Risk Analytics. The Climate Risk Stress Testing Specialist is a key role in the development, maintenance, and performance monitoring of VMUK’s suite of Climate stress testing models, which are used to forecast loan loss provisions and capital requirements under a range of Climate scenarios, including regulatory stress tests. The role holder will have the opportunity to work across a broad range of models spanning retail and business asset classes and drive business insight.

What you’ll be doing

• Leading the development of the suite of climate stress testing models across Retail and Business portfolios, and across IRB and IFRS 9 modelling environments
• Supporting technical leads to independently implement changes to the SAS based Stress Testing Engines and associated analytical tools
• Focusing on continuous improvement through addressing of the Open Model validation actions and by identification of model performance issues, addressing oversight actions and by embedding learnings and evolving business and regulatory requirements
• Ensuring effective design and implementation of the Climate Stress testing monitoring of the stress testing models
• Continually assess and identify SAS processes/code to promote simplification and automation, reducing any operational risk inherent in the current environment
• Close collaboration with credit risk modelling, finance and business teams for obtaining insights and feedback for the management of the credit stress testing models
• Assisting the operational/delivery arm of the credit stress testing team in relation to model usage.

We need you to have

• Good Knowledge of Climate risk model methodologies and stress testing frameworks across a range of Retail / Business credit portfolios with a good understanding of model usage
• Strong model development experience in stress testing, ideally using SAS and R
• Effective Climate Risk Modelling skills across physical risk and transition risk
• A strong understanding of climate-related regulations and reporting standards (e.g. TCFD, ESG reporting)
• Excellent analytical ability to solve complex problems, with a keen attention to detail
• Brilliant communication skills to be able to effectively communicate complex methodologies, processes, and outputs to colleagues with varying levels of subject matter expertise.

It’s a bonus if you have but not essential

• Python experience

Red Hot Rewards

• Generous holidays - 38.5 days annual leave (including bank holidays and prorated if part-time)plus the option to buy more.
• Up to five extra paid well-being days per year.
• 20 weeks paid, gender-neutral family leave (52 weeks in total) for expectant parents and those looking to adopt.
• Market-leading pension.
• Free private medical cover, income protection and life assurance.
• Flexible benefits include Cycle to Work, wellness and health assessments, and critical illness.
• And there's no waiting around, you'll enjoy these benefits from day one.
• If we’re lucky to receive a lot of interest, we may close the advert early. Please ensure to submit your applications as soon as possible.

Say hello to Virgin Money

Virgin Money is so much more than just a bank. As part of theNationwide group,together we're the UK's first full-service mutual bank serving millions of retail and business customers and all driven by our purpose; Banking but fairer, more rewarding and for the good of society. With us, you’ll be part of an organisation uniquely positioned to make a difference to the lives of customers, communities and broader society and embark on a collaborative, customer obsessed, and fun-filled career journey. Embrace the weekdays, enjoy fantastic perks, and make a meaningful positive difference. Time to discover what it means to be part of the first mutual full-service banking provider.

Be yourself at Virgin Money

At Virgin Money, we celebrate everyone. We have fun, think big, and relentlessly include each other, all in pursuit of our purpose: Banking – but fairer, more rewarding, and for the good of society.We’re committed to creating an inclusive culture where colleagues feel safe and inspired to contribute, speak up and be heard.

As a Disability Confident Leader, we're committed to removing any obstacles to inclusion. If you need any reasonable adjustments or support making your application, contact our Talent Acquisition [e-mail]

Please note: If we receive a high volume of eligible applications, we may need to prioritise candidates whose skills and experience most closely align with the role, while still ensuring fair and equitable consideration for all applicants.

Now the legal bit
Although some of our roles allow you to be based anywhere in the UK, we'll need you to confirm you have the right to work in the UK.

If you're successful in securing a role with us, there are some checks you need to complete before starting. These include credit and criminal record checks and three years' worth of satisfactory references. If the role is part of the Senior Manager Regime and Certification Regime, it requires enhanced pre-employment checks –we'll ask for six years of regulatory references, and once in the role, you'll be subject to periodic employment checks.