Andrea Graves

During the 2022 "Mini-Budget" also known as the UK's LDI crisis, Gilt yields spiked 200bps, threatening the solvency of leveraged NBFIs and broader financial stability.

Designed the risk methodology for an emergency Gilt repo facility to be deployed to Non-Bank Financial Institutions (Insurers and Pensions) in times of market dysfunction.

The framework's operational transparency drove a substantial improvement in market sentiment and an immediate decrease in implied volatility.

Optimizing the risk-return profile of the UK's Foreign Reserves within strict liquidity constraints to ensure readiness for market intervention.

Advised HM Treasury on the optimal risk-return investment framework, by advising how to define its risk appetite and applying quantitative models to balance yield with high-grade asset liquidity.

Established a robust investment mandate that ensured maximum capital preservation while maintaining requisite liquidity buffers for policy needs.

Systemic vulnerability due to insufficient or inadequate risk capture in capital models. Firms were requiring to transition away from relying in bail-outs in favour of proactive prevention. Needing to increase own resilience under extreme tail-risk scenarios.

Led supervisory assessments of advanced risk models for Tier-1 institutions. Directly challenged C-suite executives on Board-level decisions regarding model governance. Identified significant methodology limitations to ensure the design, development, and implementation of models were mathematically robust so that recovery playbooks met regulatory requirements.

Enhanced the safety and soundness of the UK financial sector by ensuring major firms remained prudently capitalised. Operational during extreme stress events, protecting the broader economy from potential adverse contagion effects.