Principal Quantitative Analyst

The Analysis Division (AD), in Risk Management Group (RMG), brings together analysts from a range of disciplines, including economics and operational research. Together we produce impactful, innovative analysis essential to delivery of UKEFs mission, and provide analytical leadership across the Department. We are made up of four branches:

• Country Risk Analysis assessing economic and political risk factors relating to UKEFs portfolio and pricing, delivering thematic macroeconomic analysis and monitoring and managing UKEFs system of country exposure limits.
• Economic Analysis developing economic insights and research, with particular focus on quantitative techniques and understanding the real-world impact of UKEFs activities.
• Pricing managing deal information and calculating premium so that UKEF both meets internationally-agreed requirements, and covers the risks we take through our exposures.
• Operational Research and Analysis (ORA)

The Operational Research & Analysis (ORA) branchs core function is to manage, model and price risk across UKEFs portfolio, monitoring how it evolves as we support UK exports around the globe. This task involves regular stress testing and scenario analysis exercises, as well as on-going reviews and development to ensure our methods represent best possible practice. The financial success of UKEF is dependent upon sound risk management practices, which are increasingly vital given the headwinds faced by the global economy.

Analysts in ORA also act as internal consultants, using our problem solving and communication skills to support colleagues right across UKEF. We work in close collaboration with every division on tasks as diverse as problem structuring, project management, model development, and statistical analysis, including data science and artificial intelligence. We offer a supportive and encouraging environment emphasising continual development of analytic, communication, and people skills through self-directed and external training, always seeking to apply what we have learnt to improve decision making and operations across UKEF.

ORA is also involved in major projects that will shape the department for years to come. Current examples include embedding financial reporting changes in line with new International Financial Reporting Standards (IFRS 9 and 17), as well as projects to identify automation and data science or machine learning/artificial intelligence applications across the department.

The Principal Quantitative Analyst reports directly to the Deputy Head of ORA and supports the day-to-day leadership and delivery for the programme of work of the Operational Research and Analysis team. That programme includes four main areas:

• Portfolio modelling and analysis, which plays a central role in assessing risk across UKEFs portfolio, measuring whether the Department is meeting its financial objectives and providing assurance to internal and external stakeholders. The importance of understanding our risk has grown in recent years in line with the growth of our portfolio, the diversity of products we offer and the range of counterparties we engage with.
• Project related work, ORA contributes to several transformational projects across the Department. Recently, the team led the development of new risk models as part of the Financial Reporting Changes project. Following implementation, a key objective is embedding processes and insights from the new suite of models to ensure continued compliance with the Standard. ORA also plays a critical role in projects aimed at improving the data and analysis infrastructure across the Department. In addition, the team is focused on modernising our modelling approach, automating key processes, and enhancing the communication and reporting provided to stakeholders.
• Analytical leadership . This includes development and adoption of new analytical techniques and technology in UKEF, in portfolio risk modelling but also in the wider field of data science including use of new programming languages, software and statistical techniques. This requires horizon scanning and awareness of the latest advancements, and also looking for new ways and contexts in which to apply them.
• Internal Consultancy. Investigating problem areas and / or undertaking analysis which is too complex for other teams to carry out, and using the results to formulate advice. The work is commissioned by senior management and may relate to policy or operational issues.

The Principal Quantitative Analyst will coordinate substantial strategic research projects, from scope to delivery, often involving significant technical challenges. Analysis performed during these projects may require the use of operational research techniques, statistical (including data science and AI) or mathematical modelling, or broader management science techniques. The Principal Quantitative Analyst provides relevant analysis and advice to ensure UKEF meets its strategic and business objectives, and as such good communication and interpersonal skills are highly valued. Quality assurance of the analysis work performed by other members of the team is a significant part of the role, encompassing both model and paper reviews. The role will likely also include the identification and definition of project opportunities, and agreement thereof with the Chief Analyst and Head of ORA. This work is done in collaborative environment, via consultation with senior managers and subject matter experts throughout UKEF.

The role will include line management responsibilities, supporting and encouraging the development of more junior colleagues, as well as ensuring that all regular staff management, reporting, and training requirements are met. The Principal Quantitative Analyst will have the opportunity to become a member of the Government Operational Research Service (GORS), a Civil Service-wide profession offering opportunities for development and knowledge transfer across government.

Main Activities

The main activities of the role are summarised below. Training (self-directed, internal, and external) is available to cover any specific technical skills described below; candidates are encouraged to consider whether the environment and type of work might suit their general skills, outlook, and interests rather than whether they have specific experience with the techniques outlined below.

1. Portfolio risk management and model development :
   1. Manage, develop and maintain UKEF's portfolio risk modelling in the form of the Portfolio Risk Simulation Model (PRISM) and the PRISM process. PRISM is a core business critical model, underpinning measurement against UKEFs financial objectives.
   2. Conduct and manage the PRISM monthly process, quality assuring analysis performed by other ORA analysts on movements in UKEFs portfolio risk.
   3. Apply appropriate financial knowledge and risk management practices, including: Value at Risk modelling, stochastic modelling (including Monte Carlo simulation techniques), Excel and VBA, understanding of UKEFs portfolio. Apply software modelling knowledge of Excel VBA and/or python.
   4. Oversee and/or conduct scenario analysis and stress testing, reverse stress testing, and claims scenario analysis exercises, both regularly and on an ad hoc basis as required by UKEFs Executive Committee and Board.
   5. Provide and/or review portfolio risk analysis and value for money assessments for UKEFs Active Portfolio Management (APM) activities. APM activities include monitoring risk concentrations, analysing value for money in reinsurance exercises, and providing other ad hoc analytic support.
   6. Oversee and undertake regular reviews of PRISM assumptions and prepare papers for presentation to UKEFs Enterprise Risk and Credit Committee (ERiCC).
2. Leadership and team management:
   1. Effectively manage 1 or 2 team members at the SEO/HEO level in accordance with departmental management policies to improve business performance and build potential.
   2. Lead and motivate the team to deliver business outcomes/targets.
   3. Assist or deputise for the Deputy Head and Head of ORA as required (for example when they are out on leave).
   4. Ensure effective communications are in place across the team, between colleagues, and with external stakeholders.
   5. Engage with customers across UKEF to determine their analysis or model development needs.
   6. Build the teams knowledge of finance, mathematical and financial modelling, UKEFs pricing and risk structures, and relevant OECD arrangements.
   7. Liaise with Treasury, UK Government Investments (UKGI), and other Export Credit Agencies (ECAs) around the world about portfolio risk management practices.
3. Major project ...