Job Description

  • Work closely with
    debt managers and asset managers to support the understanding of their
    respective risk appetite, policies, limits, and risk exposures. Provide
    independent and effective second line challenge on risk-taking.
  • Preparation of
    daily, weekly, and monthly risk management information and dashboards for
    senior management and committees, along with monitoring and reporting
    against market risk limits and KRIs.
  • Continuous review
    and enhancement of risk reporting as the business needs evolve.
  • Play a lead role
    in the ongoing development of multi-factor/multi-period scenario analysis
    and stress testing across all market risk exposures (including Fixed
    Income, FX, Equity, and Absolute Return investment strategies)
  • Analysis of the
    market risk implications arising from new funding strategies, investment
    strategies, markets, products, processes, or regulatory requirements.
  • Ad hoc reporting
    to senior management on any important change to risk exposures.
  • Valuation of
    fixed income products (including Bonds, Repos, Loans, Deposits, Swaps and
    Short-Term Paper)
  • Maintenance and
    benchmarking of yield curves.
  • Play a key role
    in major risk projects. Ongoing development and maintenance of the
    Agency’s core treasury risk systems.


  • At
    least 5 year’s relevant experience in the financial services industry.
  • A
    strong degree in a quantitative discipline (e.g. Maths, Economics,
  • Proven
    track record in monitoring, measuring and managing substantial market risk
    exposures across a diverse range of complex specialised portfolios. 
  • Excellent
    understanding of global financial markets and a strong product knowledge
    (e.g. Bonds, Repos, Loans, Deposits, Swaps, and Short-Term Paper).
  • Experience
    in valuing complex and/or illiquid products and an understanding of
    accounting implications.
  • A
    firm understanding, and proven experience of analysing and reporting on
    the market risks arising from a multi-asset investment portfolio,
    including multi-factor analysis and the valuation of derivatives and
    alternative assets.
  • Excellent
    understanding of risk methodologies such as VaR and multi-factor stress
  • Strong
    understanding and experience in curve construction.
  • Excellent
    attention to detail. Clear and concise verbal and written communication
    skills. Ability to draft and present papers on complex issues to a broad
    range of audiences.
  • A
    high level of numeracy with strong analytical and IT skills (e.g. Excel,
    SQL, JavaScript, and VBA.)
  • Strong
    understanding of treasury risk management systems. In-depth knowledge of
    Bloomberg. Knowledge of Bloomberg PORT and OpenLink-Findur would be a
    distinct advantage.
  • Highly
    motivated with a willingness to take initiative and responsibility in a
    small team. Flexibility, adaptability and ability to deal with a fast pace
    of change.


  • Flexible
    work options including remote working and variable work hours
  • An
    extensive wellbeing programme
  • Excellent
    learning and development opportunities that allow for full career
    development within the organisation
  • A
    diverse range of initiatives: LGBT+, Gender Matters, Disability Awareness,
    Sports & Social, Volunteering and lots more.
  • Reimbursement
    of annual professional membership fees
  • Defined
    Benefit Pension Scheme