Associate Risk Officer
Washington DC, United States
JOB DETAIL
Description
IFC — a member of the World Bank Group — is the largest global development institution focused on the private sector in emerging markets. We work in more than 100 countries, using our capital, expertise, and influence to create markets and opportunities in developing countries. In fiscal year 2023, IFC committed a record US$43.7 billion to private companies and financial institutions in developing countries, leveraging the power of the private sector to end extreme poverty and boost shared prosperity as economies grapple with the impacts of global compounding crises. For more information, visit www.ifc.org.
As part of IFC’s dynamic and market-oriented operations, the Treasury Risk unit in Corporate Risk Management Department (CRMTR) is responsible for providing risk analysis on IFC Treasury. The main activities of the group are: (a) Market Risk; (b) Credit Risk; (c) Quantitative Risk; and (d) Model Risk. The Model Risk Team within CRMTR validates the financial models used in Treasury and other parts of IFC.
The Model Risk Team in CRMTR is conducting a search for a dynamic, motivated, and a detailed-oriented quantitative professional with strong financial modeling experience, communication, and interpersonal skills to join their team to validate financial models used in IFC.
Role & Responsibilities:
The successful candidate will:
• Validate Treasury derivatives valuation models, including models used to value vanilla and exotic derivatives.
• Validate implementation of vanilla & exotic derivative models in valuation systems, such as Summit, Numerix, Murex, etc.
• Ensure structured/exotic derivative swaps covering fixed income, currencies, equity have appropriate models.
• Provide effective challenge while validating models and be able to challenge using factual and sound arguments as well as judgements
• Work closely and provide support to the Team member, who is leading the efforts on validating Treasury derivative valuation models.
• Ensure model remediation plans are implemented within appropriate timelines.
• Together with the Quantitative/Modeling Team, be able to investigate large mark-to-market deviations with our counterparties in the collateral process.
• Review and where applicable validate CVA models, possibly together with other members of the Model Risk Team, used for collateralized/uncollateralized derivative swaps
• Review and research on risk measurement models such as Risk Sensitivity, Economic capital, etc.
• Review/validation of structured finance products and other assets, as required
• Revalidate models that were validated before to meet the Model Risk policy and Audit requirements
• Create and maintain validation documentation with adequate testing to meet the Model Risk policy and procedures.
• Ensure timely response to queries and requests.
• Meet deadlines and achieve agreed-upon results.
• Actively seek knowledge needed to complete assignments and share knowledge with others.
Selection Criteria
• MS or higher degree in Finance, Mathematical Finance, Engineering, or equivalent.
• PhD in Finance, Mathematical Finance, Engineering, etc. and certifications such as CFA would be a plus.
• At least 5 years relevant experience in financial derivative modeling, markets, and financial derivative products.
• Solid understanding of Quantitative Financial Engineering, involving Fixed Income, Equity, and FX exotic derivatives is a must. In depth knowledge and exposure to the product models such as Bermudan Callables, PRDCs, Equity KIKO, FX KIKO, etc. is a strong plus.
• Thorough understanding of the foundations of pricing theory, models such as Libor Market Model, Forward Market Model, Hull-White model, Local Volatility Model, Stochastic Volatility Model, Mixed Volatility Model, Black-Scholes Model, etc. is a strong plus.
• Strong understanding of Interest Rate Curve Construction models using SOFR, RFR, OIS, & LIBOR and all the related calibration instruments for G4 and non-G4 currencies.
• Good hands-on experience with modeling, risk sensitivity, and products knowledge relating to SOFR/RFR vanillas, Daily Compounded SOFR/RFR, SOFR Lookbacks, etc. would be a strong plus.
• Solid understanding of CVA, Hedging, Risk Sensitivity, Economic capital would be a plus.
• Able to determine appropriate modeling and valuation techniques and to construct models consistent with market practice.
• Proficiency in Excel (including VBA), MS Word, MS PowerPoint, C/C++, and statistical software packages such as Matlab, R, etc. would be a strong plus.
• Thorough understanding and usage of exotic and vanilla derivative models based on Numerix, Summit, and Murex libraries would be a strong plus.
• High degree of motivation and commitment to highest ethical standards.
• Strong desire and motivation to learn different types of quantitative financial models.
• Be able to challenge the counterparts who develops the models and ability to handle difficult discussions, including being able to push-back and say “no”.
• Strong inter-personal and communication skills.
• Excellent written and verbal skills in English
• Ability to work under pressure and multitasking.
• Excellent team player and ability to work with colleagues from diverse backgrounds.
World Bank Group Core Competencies
The World Bank Group offers comprehensive benefits, including a retirement plan; medical, life and disability insurance; and paid leave, including parental leave, as well as reasonable accommodations for individuals with disabilities.
We are proud to be an equal opportunity and inclusive employer with a dedicated and committed workforce, and do not discriminate based on gender, gender identity, religion, race, ethnicity, sexual orientation, or disability.
Learn more about working at the World Bank and IFC, including our values and inspiring stories.
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