The Financial Officer will play a key role in the delivery of the market data and valuation work program of the division. He/she will interact with counterparts in Finance (WFA, Risk, Treasury, and Corporate Finance) and will represent the division in working groups related to new initiatives and new financial instruments.
How your contributions will help us achieve our goals:
What you will do:
Review valuation for the various financial instruments in the IBRD/IDA portfolios utilizing Summit, Murex, and Numerix modeling tools.
Preparation and quality assurance of calculated market data, evaluation of data sources. Daily review, and verification of the market data reliability.
Analyze the results of sensitivity to market movements by utilizing relevant tools and formalizing into procedures and reporting.
Review/prepare market data validation proposals and secure approvals by proposing appropriate market data, curve construction methodology and system configuration to be used consistent with market practice.
Implementation of models pertaining to vanilla and structured products in Numerix OneView.
Compare and analyze WB valuations versus corresponding Counterparty valuations and other alternative sources.
Review market data - interest rates, foreign exchange, equity and credit data and related review functions. Ensure data captured by the Bank’s market data system, meets required quality standards before distribution to downstream systems. Periodically review existing model/ market-data choices used for borrowings and derivative valuation.
Participate in projects and initiatives to enhance / change current applications and operationalize new instruments.
Coordinate with stakeholders across the World Bank and also with other MDBs/banks.
Provide training and direction to less experienced staff.
Master' s in Mathematics, Engineering or relevant discipline
Professional finance/accounting qualification (CFA and / or CA, CPA, ACCA or equivalent accounting qualification)
Minimum of 5 years of relevant work experience
Professional experience with major financial institutions or a Big 4 accounting firm with practical knowledge of interest rate curve construction, yield and FX volatility surfaces and correlations, as well as Bond/Swap valuation methods for structured instruments.
Knowledge and Skills:
Strong understanding of fixed income and debt derivative products with emphasis on interest rate and FX option pricing theory.
Proven quantitative and qualitative analytical skills including familiarity with financial modeling techniques as well as valuation adjustments (XVAs).
Excellent understanding of market data requirements for capital market related trading activities.
Knowledge of appropriate valuation models including calibration instruments and model limitations.
Demonstrated high level of initiative, self-confidence and a self-starter.
Strong interpersonal skills; commitment to work in a team-oriented, multi-cultural environment; detail oriented.
Excellent verbal and written communication and presentation skills, including writing validation proposals.
Proficiency in Python (or other programming language) is highly desired.
Ability to deliver results and respond quickly and effectively to requests.
Ability to lead systems projects and institutional initiatives.
Ability to meet tight deadlines.
Strong communication skills, including the ability to explain and express views/opinions clearly and confidently.
Ability to deal sensitively in a multi-cultural environment and build effective working relations with clients and colleagues.