The office of the Chief Risk Officer (CRO) is responsible for leading the risk management function for IBRD and IDA, with oversight responsibility for financial and operational risks including policy formulation, measurement, monitoring and reporting. The CRO works closely with other risk units in the Bank Group to address cross-cutting issues, support innovation in a sustainable manner and share best practices. It also fosters collaboration in risk management across other MDBs. CRO plays a key role in capital structure and interaction with rating agencies as well as internal and external auditors and Board communication on risk related matters. It consists of Country Credit Risk Department (CROCR), Market and Counterparty Risk Department (CROMC), and Operational Risk Department (CROOR).
The Market & Counterparty Risk Directorate (CROMC) focuses on oversight of risk in three main areas: 1) Market risk, which covers ALM, interest-rate, spread (funding and investments) foreign-exchange risk, and the availability/cost of, or access to, ready liquidity and long-term funding; 2) Counterparty (i.e., no sovereign-lending) Exposure & Liquidity risk, which includes risks to IBRD resulting from changes in creditworthiness of IBRD’s commercial/derivative counterparties, and MTM/liquidity risks of the treasury investment portfolios; and 3) Model risk, which covers financial-risk models, across the WBG excluding IFC, in terms of model, risk, and governance.
The Market & Counterparty Risk Directorate is now looking to recruit a Senior Risk Officer to manage and oversee the model risk and governance team in CROMC. The position is based in Washington, D.C and will report directly to the Director, Market and Counterparty Risk.
Duties and Accountabilities:
Lead model validation and control function for risk and capital models. Provide updates and report to the CROMC director;• Provide guidance to stakeholders in terms of model-risk management and help to interpret the framework to the stakeholders;
Develop relationships with model development teams to build and maintain the model inventory;
Consult with model users on the design of effective model-risk management;
Perform model governance function for models in the model inventory and ensure they are validated in accordance with the existing framework, identify model risks and discuss remediation plans;
Lead and oversee internal validation of high-risk, or systematically important, models within the inventory;
Assess and perform independent ratings of all models in IBRD’s model inventory and summarize to the CROMC director;
Develop and maintain industry contacts to maintain best practices;
Mentor junior members of the MRG team; and
Help create awareness of the model governance environment across the World Bank Group.
Master’s degree with a minimum of 8 years of relevant experience in finance, physics, operations research, statistics, mathematics, computer science, engineering (or related subject areas) with a strong technical and quantitative background;
Minimum of 8 years experience in either financial modelling or risk management, as well as working in highly successful teams;
Experience in either model-risk management, model validation and control function roles, or model development with a major financial institution/or large company;
Excellent team player with ability to collaborate with colleagues within and across departments, as well as upwards and downwards; and
Excellent written and oral communication skills, including the ability to present complex and technical issues in simple terms.
Excellent understanding and experience with Economic & Regulatory Capital Models, Credit Risk Models (PFE, Credit Capital, Counterparty, CVA, etc.), and Market Risk Models (VAR);
Solid understanding and experience with derivative-valuation models and associated techniques;
Excellent understanding and experience with models for interest rates, foreign-exchange, equity, and structured notes;
Ability to analyze and understand complex financial instruments, models and write and/or interpret relevant code to facilitate the analysis;
Advanced programming skills with knowledge of the following: MATLAB, R, Python, S-Plus, SQL, Microsoft Suite, etc.;
Excellent understanding of the markets and knowledge of structured products and derivatives;
Strong modeling and technical expertise with focus on quality, execution, and meeting deadlines;
Excellent interpersonal skills, teamwork, and ability to interact effectively with financial professionals, model developers and users, technical specialists, technology experts, sales/business personnel, and senior managers;
Experience with model validation, model risk, and/or development of quantitative models, ideally in an international or a major financial services organization;
Ability to perform multiple tasks and to handle pressure and meet strict deadlines; and
Understanding of industry-wide risk modelling practices and trends is highly desirable.