E T Consultant
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 an experienced quantitative professional with strong financial modeling & model validation background as well as excellent verbal and written communication skills to join their team to validate financial models used in IFC.
Role & Responsibilities:
The successful candidate will:
• Be responsible for validating/reviewing IFC’s Structured Finance models such as those used for Cash/Synthetic Asset Backed Securitization of different asset types, Collateralized Debt Obligations, Synthetic Risk Transfer, etc. including copula-based models and related models for valuation and credit rating methodology.
• Validate/Review models used for Quasi-Loans and Loans with embedded options.
• Assess implementation of Structured Finance models, Quasi-Loans in IFC’s systems, including models developed in spreadsheet environment.
• Ensure that the models are implemented, documented, tested, and are being applied/used appropriately.
• Provide effective challenge while validating models and be able to challenge using factual and sound arguments as well as judgements.
• Provide support to the Senior members of the Model Risk Team to evaluate memos submitted by various stakeholders to the management, any Steering Committee, and Corporate Risk Committee
• Ensure that any model development/remediation plans are implemented within appropriate timelines and proactively follow-up with the Modeling Team and other stakeholders to highlight and resolve issues, including escalation of unresolved issues to the Senior members of the Model Risk Team.
• Assist in reviewing/validating other models as required
• Perform industry research on upcoming and state-of-the-art models to help the Team to provide effective challenges and ensure that IFC is aligned with industry standards
• Revalidate models that were validated before to meet the Model Risk policy and Audit requirements
• Create and maintain model 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, Engineering, Mathematical Finance, Statistics, or equivalent.
• PhD in Finance, Mathematical Finance, Engineering, etc. and certifications such as CFA would be a strong plus.
• At least 7 years relevant experience in structured finance modeling, markets, and structured finance products.
• In depth experience with validating and reviewing structured finance models for several years would be a strong plus.
• Thorough understanding of quantitative financial models involving copula-based models, credit rating methodology, hazard rate models, dynamic credit models, PD, LGD, etc. is a must.
• In depth knowledge and exposure to the product models such as securitized fixed income products, quasi-loans, loans with embedded options, are a must.
• Good understanding of Residential Mortgage-Backed Securitization and related models would be a plus.
• Some understanding of Hybrid Capital models such as those for B3T2 as well as models for transfer and convertibility, moratorium risk, etc. would be a plus.
• Familiarity with Hull-White model, Black-Scholes, etc. is a plus.
• Able to determine appropriate modeling and valuation techniques and to construct models consistent with market practice.
• High proficiency in Excel (including VBA), MS Word, MS PowerPoint, C/C++, Python, and statistical software packages such as Matlab, R, etc. would be a strong plus.
• Strong quantitative, analytical modeling, and model validation skills.
• High degree of motivation and commitment to highest ethical standards.
• Strong desire and motivation to learn different types of quantitative financial models and willing to take on challenging model validation tasks, even if it is outside the comfort zone.
• 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
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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