Location: Washington
Deadline: Thursday, 01 August 2013
Description
Treasury Risk Management Lead/Sr. Specialist - Quantitative Analysis*
Location: Washington, D.C.
The Inter-American Development Bank (IDB) is the oldest regional multilateral development bank with $98 billion in assets as of September, 2012. The IDB's Office of Risk Management (RMG) is in charge of managing credit, market and operational risk within the Bank. RMG seeks to hire a talented and seasoned quantitative risk management professional to lead and implement initiatives and work programs in the Treasury risk area.
KEY RESPONSIBILITIES
The candidate will lead the development of innovative and effective risk management methodologies, models and analytical solutions to support the Bank's treasury risk management activities in a highly complex and dynamic financial market environment. He/she will, individually or as project team leader, implement work programs and projects to strengthen the framework for analyzing, measuring and managing risks, including the functions listed below.
- Lead the quantitative analysis of risks of various types of financial instruments (including complex structures), in the IDB's investment, funding, and derivative portfolios.
- Develop innovative solutions to enhance or adjust treasury risk guidelines and limits to meet evolving business needs, and to support Bank initiatives such as local currency financing.
- Introduce advances in the portfolio analytics framework (including strategic asset allocation) to align portfolio strategies and risks with investment objectives and the risk tolerance of the Bank.
- Lead the development and implementation of state-of-the-art analytical tools and systems used to measure market and credit risk in the Bank's investment and derivative portfolios.
- Define high standards for model calibration and apply advanced quantitative techniques in the development and calibration of risk models.
- Develop robust models to validate pricing methodologies and to assess and control model risk in structured investment assets, complex funding structures, and transactions in under-developed local currency markets.
- Analyze and report on a broad range of risk measures, such as value-at-risk, stress testing and sensitivity analysis, to enable senior management to have a comprehensive view of risk positions, market conditions, and the impact of new initiatives.
- Lead highly technical project teams and working groups involved in implementing treasury risk management and quantitative analytics projects and initiatives. Mentor and guide junior staff.
REQUIREMENTS
Education: Ph.D. or Master's degree in Finance, Economics, Mathematics, Physics, Statistics, Engineering, or similar quantitatively oriented degree (Ph.D. preferred).
Experience and functional knowledge: [i] Minimum of 6 years of relevant experience in quantitative finance, mathematical modeling, market and commercial credit risk management, portfolio management, or capital markets; [ii] outstanding analytical and quantitative skills, with a clear ability to add value to the risk management process through creative thinking and in-depth and disciplined analyses; [iii] broad and deep knowledge of global financial markets and products, and ability to assess the financial risks of multi-currency treasury portfolios; [iv] experience in the design, development, and implementation of state-of-the-art modeling tools and methodologies for portfolio risk management and securities valuation; [v] experience in the use of advanced techniques in quantitative finance such as stochastic calculus, portfolio optimization, econometrics, term structure modeling, and Monte Carlo simulation; [vi] demonstrated ability to lead a variety of highly technical project teams or functions; [vii] ability to draft well-written, coherent analyses and proposals to senior management and to engage senior decision-makers on complex risk issues.
Advanced computer skills, including the ability to program and develop applications using software such as Matlab, C++, and Visual Basic. Familiarity with specialized risk models or financial systems such as QRM and Summit are a plus.
Excellent interpersonal and communication skills, including the ability to present complex and technical issues in simple terms.
Languages: Fluency in English and working knowledge of Spanish is required. Knowledge of Portuguese or French is preferred.
CORE COMPETENCIES
Client Focus & Management: Focuses efforts on achieving business results through understanding and meeting internal and external client and stakeholder needs. Values the importance of providing high-quality service, while balancing the interests of the client and IDB.
Innovation & Creativity: Generates innovative and creative solutions to problems that contribute to organizational effectiveness. Tries different and novel ways of approaching work to create added value in the services/products provided. Creates new ideas, solutions or innovative approaches to ongoing challenges, adding value to products and services delivered.
Critical Thinking & Judgment: Uses data, experience, and good judgment to make sound decisions and devise effective solutions to problems, based on systematic analysis and solid reasoning. Assesses and manages risk in own work, considering implications and consequences.
Knowledge Sharing: Actively develops and shares knowledge within and outside own business area. Leverages expertise to improve organizational effectiveness and add value within sphere of influence. Improves knowledge capture on business initiatives and contributes to the development and dissemination of knowledge products and tools.
Collaboration & Influence: Encourages teamwork and cooperates with others to achieve mutually beneficial results. Gains the support of others for ideas and initiatives, regardless of formal authority and organizational boundaries. Conveys oral and written information in a clear and persuasive manner.
* Position level will depend on relevant background and experience
The IDB offers excellent benefits, a competitive compensation package, including relocation expenses (if applicable).
The IDB is committed to gender equality and encourages women to apply.
We seek diversity also in terms of nationality, ethnicity, race, and educational background.
Persons living with disability or HIV/AIDS are equally encouraged to apply.
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