[ref. g80215516] Washington - Senior Valuation Officer - GG

World Bank Group

Description

For more information, visit www.worldbank.org.

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 four 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;
3. Model risk, which covers financial-risk (capital, risk, income, etc.) models, across the WBG excluding IFC, in terms of model, risk, & governance; and
4. Valuation & Analytics, which includes validation and verification of valuation models & market data, and independent price verification (IPV) of fair-valued products.

The Market & Counterparty Risk Directorate is looking to recruit a Senior Financial Specialist responsible to support the Valuation and Analytics (VA) function in CROMC, based in Washington, DC. An ideal candidate should demonstrate a strong knowledge of market financial instruments including derivatives & complex pricing models, have an experience with leading cross-functional streams, and possess a track-record in delivering high-quality work in a timely manner.

The primary purpose of the VA function is to ensure the integrity of valuations in IBRD and IDA's financial statements. VA does so by independently overseeing implementation of the models in the designated valuation system and following through independent price verification.

• Lead streams on model validation streams for financial products including risk analytics.
• Oversee internal initiatives to increase robustness and efficiencies in the model validation process.
• Lead/participate in projects undertaken by the Market Risk Department and collaborate in cross VPU projects as necessary.
• Review, challenge and approve pricing models and market data proposals in accordance with governance frameworks. The instruments include (but not limited to) loans, structured/exotic bonds and derivatives, covering fixed income, foreign-exchange, commodity, and equity.
• Execute, review and validate analytics for financial products on the balance sheet including MTM movements attributions, sensitivities (both valuation and xVA) and stress tests, etc.
• Contribute to the Independent Price Verification of models and perform periodic IPV analysis.
• Build, sustain and manage relationships with external and internal clients to achieve institutional goals in an effective manner. Proactively interact with the World Bank Treasury (TRE) and Controller (WFA) business units.
• Stay current with the latest developments in quantitative modelling techniques, identifying opportunities to improve existing models and tools.
• Coach, mentor and train experienced and junior team members on quantitative topics, internal processes and model validation streams.
• Manage and oversee the engagement of technical consultants (external providers).
• Develop and maintain market best practices by engaging with market participants, practitioners and others stakeholders.
• Collaborate closely with external auditors.

• A Master's or higher degree in quantitative finance, mathematics, physics, engineering or related field/discipline with substantial professional experience.
• A minimum of 8 years of relevant experience in implementation/validation/review of models used for valuations, risk and analytics for financial products e.g. Loans, Bonds, Structured Bonds, Derivatives, Including Complex exotic products, xVA etc. The main focus is IR models (Multifactor HW, BGM, etc.) but the scope also includes FX, Equity and Others (Black, Dupire, Heston, etc.)
• Prior experience in constructively challenging the model proposal and model implementation of front-office models, taking into account best market practices as well as specific context of the World Bank.
• Proven Ability to take the lead of quantitative streams and ensure a robust yet timely and cost-efficient implementation of solutions by liaising with different stakeholders, contributors, and vendors.
• Demonstrated leadership in managing and mentoring experienced and junior staff on the job, fostering professional growth in diverse groups of quantitative professionals.
• Excellent team player with ability to collaborate with colleagues across departments and seniorities.
• Strong written and oral communication skills, with the ability to adequately represent complex and technical issues in simple terms for a less-technical audience.
• Solid past experience in development languages/tools: C++, Python, Matlab, SQL, etc.
• Prior hands-on experience with Numerix and Murex platforms is strongly preferred.
• Prior hands-on experience with QuantLib (or proprietary) pricing library is a plus.

Competencies:

• Technical expertise: Broad and deep understanding of financial markets and financial instruments.
• Communication: Able to communicate in a constructive, concise, and professional manner. Able to contribute to unit's knowledge sharing.
• Innovation: Applies critical thinking to current approaches, identifies areas for improvement, and tries new solutions that drive results. Considers own behavior in context of WBG's values and mission and recognizes impact one has on others. Operates in ambiguity and changing needs and supports others to do the same.
• Sound judgment: Able to access situation and make sound judgment on action needed.
• Teamwork: Keeps others fully informed to ensure integration and work consistency and displays a sense of mutuality and respect. Approaches conflicts as common problems to be solved. Seeks and listens to input from others to inform own decision making and openly shares information. Frames thinking/actions with a WBG corporate perspective in mind.
• Drive for Results: Sets challenging goals that align with the WBG mission and is always looking to improve. Understands clients' most pressing challenges and contributes to solutions. Takes personal responsibility for producing high quality work, identifying and informing of risks, and delivering results for clients.

World Bank Group Core Competencies

The World Bank Group offers comprehensive benefits, including a retirement plan; medical, life and disability insurance; and paid leave, including parental leave, as well as reasonable accommodations for individuals with disabilities.

We are proud to be an equal opportunity and inclusive employer with a dedicated and committed workforce, and do not discriminate based on gender, gender identity, religion, race, ethnicity, sexual orientation, or disability.

Learn more about working at the World Bank and IFC, including our values and inspiring stories.

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• Application and Interview Preparation: Whether you're preparing your application documents or getting ready for an interview, you can book a Job Application Support session to receive tailored guidance.
• For Swiss nationals invited to the first round of the selection process (e.g., written test, interview, assessment center): Notify us at recruitment@cinfo.ch, and we will inform our HR partners in the respective organization and the Swiss Government to help increase your visibility.

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Job type: Staff (Permanent and Fixed Term)