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 IFC Treasury financial derivative valuation models, including models used to value vanilla and exotic derivatives;
Validate implementation of vanilla & exotic derivative models in valuation systems, such as Numerix, Summit, Murex, etc.;
Provide guidance and mentor junior members of the Team in model validation activities, product knowledge, markets, and institutional knowledge related to IFC Treasury financial derivatives;
Provide effective challenge while validating models and be able to challenge using factual and sound arguments as well as judgements;
Provide support to the Head of the Model Risk Team to evaluate memos submitted by various stakeholders to the management, Treasury 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 Head of Model Risk Team;
Review and where applicable validate CVA models, possibly together with other members of the Model Risk Team, used for collateralized/uncollateralized derivative swaps;
Review and research on risk measurement models such as Risk Sensitivity, Economic capital, etc;
Review/validation of structured finance products and other assets, 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, or equivalent;
PhD in Finance, Mathematical Finance, Engineering, etc. and certifications such as CFA would be a strong plus;
At least 8 years relevant experience in financial modeling, markets, and financial products;
In depth experience with validating and reviewing financial models for several years would be a strong plus;
Solid understanding of Quantitative Financial Engineering, involving Fixed Income, Equity, and FX exotic derivatives is a must. In depth knowledge and exposure to the product models such as Bermudan Callables, PRDCs, Equity KIKO, FX KIKO, Quantos, CMSs, Hybrids, etc. is a strong plus;
Thorough understanding of the foundations of financial derivative pricing theory is a must. Deep knowledge and experience with financial derivative models such as Libor Market Model, Forward Market Model, Stochastic Volatility Model, Local Volatility Model, Local plus Stochastic Volatility Model, Hull-White model, Black-Scholes, etc. is a strong plus;
Good hands-on experience with modeling, risk sensitivity, and products knowledge relating to SOFR/RFR vanillas, Daily Compounded SOFR/RFR, SOFR Lookbacks, etc. would be a strong plus;
Solid understanding of CVA, Hedging, Risk Sensitivity, Economic capital would be 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++, and statistical software packages such as Matlab, R, etc. would be a strong plus;
Thorough understanding and usage of exotic derivative models based on Numerix and Murex libraries 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.
