We are looking for a proactive, creative and committed Treasury and Risk Senior Specialist-Quantitative Analysis to lead quantitative measurement of risks in the Bank’s derivatives portfolio.
You will work in Treasury Risk Management, part of the Office of Risk Management. Treasury risk management is responsible for overseeing risks in the Bank’s derivatives portfolio and investment portfolio.
What you’ll do:
You will lead the development of innovative and effective risk management methodologies, models, and analytical solutions to support the Bank's risk management activities in a highly complex and dynamic market environment. You will implement work programs and projects to strengthen the framework for analyzing, measuring, and managing risks, including the functions listed below:
Lead the development of quantitative analyses and models incorporating financial and non-financial risks of various types, including multidimensional stress testing, scenario analysis, and robust decision models.
Lead the quantitative analysis of risks of various types of financial instruments in the IDB’s derivatives, investment, and funding portfolios. Own derivatives analytics, including overseeing systems to calculate derivatives counterparty risk metrics.
Lead the development and implementation of state-of-the-art analytical tools and systems used to measure credit risk in the Bank's derivative portfolios.
Maintain internally developed pricing models and risk systems and implement improvements as appropriate; advise on the architecture for a potential new system; lead the implementation of a potential new system from a quantitative perspective; ensure a smooth transition from one system to another.
Evaluate new, complex, or illiquid structures and evolve analytics and systems to handle them. Determine acceptable availability of market data inputs (yield curves, volatilities, etc.) to run risk models.
Introduce advances in the portfolio analytics framework (including strategic asset allocation) to align portfolio strategies and risks with the bank's investment objectives and risk tolerance.
Drive automation of risk measurement in coordination with technology, risk managers, and treasury, devising action plans for data needs. Work with the various risk management teams to ensure a smooth handoff of analytical data to limit and reporting systems.
Evolve risk measures as quantitative risk modeling, liquidity, market practices, and regulations develop.
Develop analytics and tools to enable the Bank to manage swap exposures and achieve other Bank objectives optimally. Partner with IDB Treasury and risk managers to enhance transparency in derivative pricing costs and exposure optimization.
Create and maintain thorough documentation for models and systems and contribute to regular reporting.
Work on projects across priorities across priorities as assigned by Group Heads.
What you'll need:
Education:
Ph.D. or Master’s degree in Finance, Economics, Mathematics, Physics, Statistics, Engineering, or a similar quantitatively oriented degree (Ph.D. preferred).
Experience and functional knowledge:
[i] Minimum of 5 years of relevant experience in quantitative statistical or mathematical modeling; [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 products, and regulations, and ability to assess non financials risks including but not limited to ESG risks, as well as financial risks of multi-currency and less liquid derivative 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; [vii] ability to draft well-written, coherent analyses and proposals to senior management and to engage senior decision-makers on complex risk issues; [viii] proven ability to find practical solutions to complex problems.
Advanced computer skills, including the ability to program and develop applications using software such as Matlab, C++, Python, and Visual Basic. Familiarity with RDM, climate scenario models, Bayesian models, 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 is required. Knowledge of Spanish, Portuguese, or French is preferred.
