Climate Risk Modelling Expert

Virgin Money is seeking a Climate Risk Modelling Expert for their Risk Analytics Centre of Excellence in Edinburgh. This permanent position involves developing and evaluating climate stress testing models for loan loss forecasting. Key responsibilities include model development, collaboration with technical teams, and regulatory compliance. Candidates should have expertise in climate risk methodologies and SAS. The role offers a hybrid work model, requiring attendance at the London HUB once a week.
Business Unit: Risk Analytics Centre of Excellence

Salary range: £39,200 - £52,000 per annum DOE + outstanding benefits

Location: UK Hybrid, with attendance to London HUB 1x per week.

Contract type: Permanent

About Our Team

We are thrilled to announce an exciting opportunity in our Credit Stress Testing Modelling team within Risk Analytics. The Climate Risk Modelling Expert will play a crucial role in the development, maintenance, and performance evaluation of VMUK's suite of Climate stress testing models. These models are essential for forecasting loan loss provisions and capital needs under various climate-related scenarios, including regulatory stress tests. You will have the chance to work across diverse models spanning retail and business asset classes, providing impactful business insights.

Key Responsibilities
• Lead the development of climate stress testing models across both Retail and Business portfolios, utilizing IRB and IFRS 9 modelling environments.
• Collaborate with technical leads to implement changes to the SAS-based Stress Testing Engines and related analytical tools independently.
• Drive continuous improvement by addressing Open Model validation actions, identifying model performance issues, and adapting to evolving business and regulatory requirements.
• Design and implement effective monitoring for climate stress testing models.
• Assess and enhance SAS processes/code to foster simplification and automation, mitigating operational risks in the current environment.
• Work closely with credit risk modelling, finance, and business teams to gather insights and feedback on the management of credit stress testing models.
• Support the operational aspects of the credit stress testing team regarding model usage.

Essential Qualifications
• Strong knowledge of Climate risk model methodologies and stress testing frameworks across Retail and Business credit portfolios, along with an understanding of model usage.
• Extensive model development experience in stress testing, preferably using SAS and R.
• Effective Climate Risk Modelling skills, encompassing both physical risk and transition risk.
• In-depth understanding of climate-related regulations and reporting standards (e.g., TCFD, ESG reporting).
• Exceptional analytical abilities to tackle complex problems with a keen attention to detail.
• Excellent communication skills to clearly convey complex methodologies, processes, and results to colleagues with varying levels of expertise.

Bonus Skills (not essential)
• Experience with Python.

Why Join Us?
• Generous holidays – 38.5 days annual leave (including bank holidays, prorated for part-time) plus the option to purchase additional leave.
• Up to five extra paid well-being days per year.
• 20 weeks of paid, gender-neutral family leave (with 52 weeks in total) for expectant parents and those looking to adopt.
• Market-leading pension scheme.
• Free private medical coverage, income protection, and life assurance.
• Flexible benefits, including Cycle to Work schemes, wellness assessments, and critical illness cover.

Enjoy these benefits from day one!

Curious About This Role? If we receive a high volume of applications, we may close the advert early, so don’t miss out!

We are committed to helping you Live a Life More Virgin. We encourage conversations around flexible working arrangements.

About Virgin Money
We are on our journey to becoming the UK's leading digital bank. With a history spanning over 180 years, we harness our experience to embrace disruptive ideas that redefine the banking experience. We prioritize customer satisfaction and strive to deliver our purpose of making customers happier about money. Join us to innovate and create memorable experiences for millions of customers, while enjoying flexibility and choice in your work.

Diversity and Inclusion
We aim to build a diverse workforce that reflects our customers and communities. We are dedicated to fostering an inclusive culture where everyone feels valued and empowered to contribute.

If you require adjustments or support during the application process, please contact our Talent Acquisition team.

Legal Notice
Colleagues can be based anywhere in the UK (if the role allows it), but you must confirm your right to work in the UK.

Successful candidates will undergo credit and criminal record checks, along with validation of three years' worth of references. If applicable, enhanced pre-employment checks for senior roles will require six years of regulatory references.