Climate Risk Stress Testing Manager

Virgin Money is seeking a Climate Risk Stress Testing Manager to develop and maintain climate risk stress testing models within the Model Risk Management team. The role involves model development, validation, and compliance with regulatory standards, while collaborating with various teams. Candidates should have extensive experience in model development, particularly in IFRS 9 and IRB environments, alongside strong leadership and communication skills. The position is hybrid, requiring one day per week in the London office.
Business Unit: Model Risk Management, IFRS9 and Stress Testing

🤑: £60,000 - £75,000 per annum DOE + red-hot benefits🎁

📍: UK Hybrid – London HUB once per week

📑: Permanent

Don’t settle for dull. Live a life more Virgin.

Our Team🫶

Our IFRS 9 and Stress Testing team sits at the core of Model Risk & Analytics. We carry out model development for Stress testing, in relation to climate Risk, across all the portfolios. We are developing and improving the landscape of our Stress testing models to support the rapidly growing and evolving portfolio. We aim to deliver robust Climate risk methodology and assessment as part of the Stress testing models to support bank’s strategic roadmap.

What you’ll be doing😎✨
• Developing and maintaining climate risk stress testing models across Retail and Business portfolios, and across IRB and IFRS 9 modelling environments, including ongoing model maintenance and the scoping, design, development, validation and implementation of credit stress testing models, in line with Bank standards and regulatory compliance requirements.
• Working closely with management to independently implement changes to the SAS based Stress Testing Engines and associated analytical tools and Excel interfaces, with evidenced assurance of implementation communication to management.
• Supporting delivery of first-class model documentation and recommendation papers to governance committees to gain the support of key stakeholders.
• Guide on the development and maintenance of model performance monitoring and annual reviews, ensuring models currently in operation remain robust and fit for purpose.
• Scenario analysis, enhance current scenarios to capture short term as well as long term effects across capital and impairments for all the portfolios secured and unsecured.
• Collaborating with credit risk modelling, finance and business teams to embed the climate risk models and assessment into BAU processes.
• Ensuring models comply with internal and external polices and regulations, through the management of robust processes, ensuring appropriate challenge, oversight, documentation and by engaging with key stakeholders.
• Focusing on continuous improvement through identification of model performance issues, addressing oversight actions and by embedding learnings and evolving business and regulatory requirements.
• Ensuring stress testing frameworks remain fit for purpose through regular review and maintenance.

We need you to have🌟
• Extensive experience in model development for stress testing, ideally using SAS and R, with a deep understanding of Climate risk and the impact in Credit Risk.
• In-depth knowledge of stress testing model development within an IFRS 9 and IRB environment, across various Retail/Business credit portfolios, with a strategic approach to model application.
• Proven ability to make timely and strategic decisions, taking full accountability for outcomes and driving initiatives from conception to completion.
• Strong leadership skills to build and sustain effective networks and relationships with internal and external stakeholders, fostering collaboration and alignment with organizational goals.
• Passion and interest for climate risk topic which can lead the candidate to keep developing in this area, get informed with latest trends and methodologies.
• Excellent communication skills to articulate complex methodologies, processes, and outputs to colleagues with varying levels of subject matter expertise, ensuring clarity and understanding.
• Demonstrated capability to promote and lead teamwork, collaboration, and respect for others, while strategically guiding the team towards achieving business objectives.

It’s a bonus if you have but not essential🧁
• Experience of economic time series analysis
• Experience in climate risk and scenarios analysis
• An understanding of prudential IRB and IFRS9 impairment concepts.

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.

Feeling insatiably curious about this role? If we’re lucky to receive a lot of interest, we may close the advert early and would hate you to miss out.

We're all about helping you Live a Life More Virgin, so happy to talk flexible working with you🤝

🕕Applications Close: 24 Feb 2025 (4pm GMT).