Quantitative Risk Officer – Grade: GF recruitment
The Corporate Finance Risk Management (CFR) vice presidency is responsible for
• providing leadership in setting risk management policy and oversight in order to ensure the Bank’s continuing financial integrity
• the ongoing development of sound and effective financial policies and strategy, including those related to management of IBRD capital and income.
• the strategic planning and resource management function for the World Bank.
The Vice Presidency was created in June 2009 when three finance departments - Corporate Finance (CFRCF), Credit Risk (CFRCR), and Corporate Planning and Analysis (CFRPA) were re-established as a single Vice-Presidency in order to strengthen oversight of risk management and the supervision of finance activities.
- The Credit Risk department (CFRCR) is responsible for monitoring and managing credit risk of the member countries borrowing from IBRD.
- The Corporate Planning and Analysis Department (CFRPA) is responsible for aligning Bank resources with strategy and for supporting corporate performance management through expenditure analysis, monitoring, and reporting.
- The Corporate Finance Department (CFRCF) has had two principle areas of responsibility: (i) design of IBRD’s financial policies and strategy, along with capital and income management and (ii) market and commercial risk oversight. However, in line with recent measures to strengthen risk management, it has been decided to form the market and commercial risk oversight of the Corporate Finance Department function into a new Risk Directorate (CFRMC).
The Market Counterparty Risk Directorate will be primarily focused on oversight of risk in two areas:
1) Market Risk, which includes risks to IBRD resulting from changes in market interest and exchange rates, funding and asset spreads, and the availability/cost of or access to ready liquidity and long-term funding, and
2) Commercial (i.e. not sovereign lending) Credit Risk, which includes risks to IBRD resulting from changes in creditworthiness of IBRD’s commercial counterparties.
Responsibilities for both areas focus on three sub-functions:
- Risk Control Guidelines: Establishing and maintaining robust risk control guidelines (including setting limits) governing IBRD’s investment management, borrowings and derivatives, consistent with the institution’s financial policies and risk tolerances;
- Risk Monitoring and Compliance: Identifying and measuring IBRD’s market and counterparty risks; Assessing risk associated with new strategies, initiatives and transactions; Ensuring compliance with financial policies and risk control guidelines; Managing the process of resolving exceptions where required
- Reporting: Providing executive management and the Board with regular risk oversight reports. Providing the enterprise’s thought leadership on risk issues and relevant industry, regulatory and legal developments.
Duties and Accountabilities
The position of Quantitative Risk Officer is based in Washington DC where the incumbent will be part of the quantitative analytics team and will report to the Manager – Market as well as Counterparty Risk unit under CFRMC Directorate. Specific accountabilities will include the following:
- Conduct quantitative analytics and complex modeling projects. Leads efforts to develop new models, analytic processes and systems approaches. Creates documentation for all activities and work with technology staff in design of any system to run models developed.
- Specifically, create new exposure models for the credit system, prototypes to evaluate future models, and related tools such as a RAROC calculator.
- Analyze structured and non-standard transactions, explain the effects of complex models in plain English to business users, and provide analytic consulting services to business partners.
- Respond to questions on reported exposure and assist with portfolio exposure analysis.
- Assess risk-based pricing strategies.
Selection Criteria
As CFR seeks to attract new and diverse talent, it plans to fill this position through the World Bank’s Junior Professionals Program for Afro-Descendants (JPPAD) U.S. Minorities (see http://go.worldbank.org/35VYX00UF0). This position is open to qualified candidates who have never held a staff position in the World Bank Group. To be considered for this assignment, applicants must meet the JPPAD criteria outlined in the link above, and apply for this assignment through this job posting. In addition, the successful candidate must be an experienced investigator who has a proven track record for being meticulously thorough, fair, and objective, and can adapt easily to working in a diverse and multi-cultural work environment.
- Broad knowledge of financial products especially derivatives, with approximately 4-6 years of relevant work experience.
- Master’s degree in a quantitative discipline or finance.
- Excellent quantitative / analytic skills.
- Strong computer skills, Microsoft Excel, ideally VBA macros and functions.
- Experience developing financial exposure models.
- Strong experience with interest rate derivative models.
- Strong communication skills.
Qualified candidates may apply on-line at http://www.worldbank.org/jobs and choose vacancy #120639. The deadline for applications is April 14, 2012.