Climate Risk Stress Testing Specialist at Virgin Money

Virgin Money UK is hiring a Climate Risk Stress Testing Specialist in London to develop and maintain climate risk stress testing models for Retail and Business portfolios. The role requires extensive experience in model development using SAS and R, strong leadership skills, and a focus on compliance with regulatory standards. Responsibilities include scenario analysis, collaboration with various teams, and continuous improvement of model performance.
Job Description

Virgin Money UK is seeking a Climate Risk Stress Testing Specialist in London. The role involves developing and maintaining climate risk stress testing models for Retail and Business portfolios, ensuring compliance with regulatory standards. Candidates should have extensive experience in model development, particularly with SAS and R, and possess strong leadership skills. The position focuses on continuous improvement, scenario analysis, and collaboration with various teams. About Us We're Virgin Money UK, a full-service digital bank committed to making people happier about money. Our purpose is to empower customers with choice and flexibility in how they work with us. Our team is at the core of model risk & analytics, responsible for developing and improving stress testing models to support our rapidly growing portfolios. We aim to deliver robust climate risk methodology and assessment as part of our stress testing models to support our strategic roadmap. Your Role You will develop and maintain climate risk stress testing models across Retail and Business portfolios, ensuring 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. You will work 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. You will support delivery of first-class model documentation and recommendation papers to governance committees to gain the support of key stakeholders. You will guide on the development and maintenance of model performance monitoring and annual reviews, ensuring models currently in operation remain robust and fit for purpose. You will conduct 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. You will collaborate with credit risk modelling, finance and business teams to embed the climate risk models and assessment into BAU processes. You will ensure models comply with internal and external policies and regulations, through the management of robust processes, ensuring appropriate challenge, oversight, documentation and by engaging with key stakeholders. You will focus on continuous improvement through identification of model performance issues, addressing oversight actions and by embedding learnings and evolving business and regulatory requirements. About You We're looking for an experienced model developer with a deep understanding of climate risk and its impact on credit risk. You should have extensive experience in model development for stress testing, ideally using SAS and R. You should also have strong leadership skills to build and sustain effective networks and relationships with internal and external stakeholders, fostering collaboration and alignment with organizational goals. Essential Skills Extensive experience in model development for stress testing, ideally using SAS and R. 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. What We Offer We offer a range of benefits, including generous holidays, up to five extra paid wellbeing days per year, and market-leading pension. We also offer flexible working arrangements, allowing you to work in a way that suits you best.