Rothesay is the UK’s largest pensions insurance specialist, purpose-built to protect pension schemes and their members’ pensions. With over £69 billion of assets under management, we secure the pensions of nearly one million people and pay out, on average, approximately £350 million in pension payments each month.
Rothesay is dedicated to providing excellence in customer service alongside prudent underwriting, a conservative investment strategy and the careful management of risk. We are trusted by the pension schemes of some of the UK’s best known companies to provide pension solutions, including British Airways, Cadbury’s, the Civil Aviation Authority, the Co-Operative Group, National Grid, NatWest, Morrisons and Telent.
At Rothesay, we are striving to transform our industry. We believe deeply in creating real security for the future and our leadership in finding new and better ways to do that is the key to our success. To do that, we need the very brightest original thinkers to bring creativity as well as rigour. Rothesay is a rewarding place to work, where quality people can thrive and prosper. We pride ourselves on the connections our people build, many of whom have been with us for over ten years.
Job title: Risk Strategists
Reports to: Head of Risk Strategists
Role type: Permanent
SMCR classification: Conduct
Team overview:
The Model Risk Management (MRM) team is a critical function within the Chief Risk Officer (CRO) organisation. The team is responsible for identifying, assessing, and mitigating risks associated with the use of models across the firm. This includes conducting independent model reviews, validating methodologies, and ensuring compliance with regulatory standards. MRM plays a key role in maintaining the integrity of the firm's modelling framework, providing transparency to stakeholders, and supporting informed decision-making by ensuring models are robust, reliable, and aligned with business objectives.
Job Responsibilities:
- Assess and analyse conceptual soundness of current models, including capital and pricing calculators as well as calibration methodologies, by performing independent reviews to validate and verify their intended use.
- Understand model purpose, the underlying mathematical model assumptions, its implementation and its limitations. Understand the model behaviour under stress such as applied in capital calculations. Analyse the implementation of models in Python and Rust, identifying potential inefficiencies or inaccuracies
- Develop and implement alternative model benchmarks and compare the outcome of various models. Based on the validation methodology, recommend ways to improve the implementation. Leverage Python and Rust to create robust benchmarking tools and frameworks for model comparison.
- Conduct independent quantitative and qualitative research, extracting and processing data to evaluate model effectiveness; this can include the designing of new model performance metrics and assurance tests. Utilise libraries such as NumPy, Pandas, and SciPy for data processing and performance metric design.
- Written and verbal communication of validation work.
- Capture existing and on-going model validation work. Ensure validation work is captured in a structured and version-controlled manner, using tools like Git.
- Report on the current state of validation and assurance of models.
- Structure model documentation, extending documentation where necessary, with the strat team to meet basic model documentation standards. Ensure documentation includes technical details of model’s implementations, with clear explanations of algorithms and code structure.
- Aid new modelling by providing coding reviews and proposing model improvements.
- Carry out model risk management tasks with a view to the auditability of model assurance as well as perform any task associated with model risk management as required.
Skills and experience required: What is essential and what is nice to have?
Must have
- PhD degree in quantitative sciences, with a focus on applied mathematics, statistics, or computational methods.
- Good grounding in basic mathematics and statistics, and numerical methods.
- Proficiency in Python programming, including experience with libraries such as NumPy, Pandas, and SciPy.
- Familiarity with version control systems like Git.
Preferable
- Experience in model validation, particularly in financial or actuarial contexts.
- Knowledge and experience in Rust programming, including its ecosystem (e.g., Cargo).
- Technical writing skills with LaTeX
Rothesay competencies:
- Technical Skills - Demonstrates strong technical skills required for the role, pays attention to detail, takes initiative to broaden his/her knowledge and demonstrates appropriate analytical skills
- Drive and Motivation – Be a self-starter; successfully handles multiple tasks, takes initiative to improve his/her own performance, works intensely towards extremely challenging goals and persists in the face of obstacles or setbacks
- Teamwork – Demonstrate evidence of being a strong team player, collaborates with others within and across teams, encourages other team members to participate and contribute and acknowledges others' contributions
- Communication Skills - Communicates what is relevant and important in a clear and concise manner and shares information/new ideas with others
- Judgement and Problem solving - Thinks ahead, anticipates questions, plans for contingencies, finds alternative solutions and identifies clear objectives. Sees the big picture and effectively analyses complex issues
- Creativity/Innovation - Looks for new ways to improve current processes and develop creative solutions that are grounded in reality and have practical value
- Influencing Outcomes - Presents sound, persuasive rationale for ideas or opinions. Takes a position on issues and influences others' opinions and presents persuasive recommendations
Disclaimer
This position description is intended to describe the duties most frequently performed by an individual in this position. It is not intended to be a complete list of assigned duties, but to describe a position level. The role shall be performed within a professional office environment. Rothesay has health and safety polices that are available for all workers upon request. There are no specific health risks associated with the role.
Inclusion
Rothesay actively promotes diversity and inclusivity. We know that our success depends on our people and that by nurturing a culture that values difference, we create a stronger, more dynamic business. We welcome applications from all qualified candidates, regardless of race, colour, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability or age.