Quantitative Consultant ALM

Post of duty: Washington, DC.

The IDB Group is a community of diverse, versatile, and passionate people who come together on a journey to improve lives in Latin America and the Caribbean. Our people find purpose and do what they love in an inclusive, collaborative, agile, and rewarding environment.

The Treasury Division is looking for a dedicated, energetic and team-oriented professional to fill a consultant position in our Asset Liability Management Team (ALM) working as part of the Libor Transition Program (LTP).

About this position:

The ALM team straddles the balance sheet to help coordinate the strategy of funding, investments, and lending. The Team understands balance sheet risks, closely monitor financial markets, propose the optimal risk position of the balance sheet in order to take advantage of both the balance sheet structure and potential change in interest rates, all within risk appetite and guidelines set by Risk, and execute market transactions to accomplish this.

The Libor Working Group is responsible for assessing the impact and implications of transitioning the bank’s balance sheet from LIBOR to alternative reference rates. A multifaceted strategy has been put together to address the following areas (i.) Internal awareness; (ii.) Impact assessment and project structuring; (iii.) Financial Contracts (Fixed Income, Swaps and Loans) (iv.) Communications (shareholder and country engagement) (v.) Funding and Investment strategy; (vi.) SG and NSG Loans transition; (viii.) Balance Sheet Management and (ix.) Bank Systems and Infrastructure.

What you’ll do:

• Provide support in the continual refinement of the strategy and the execution of the Bank’s Libor Transition Program (LTP), responsible for transitioning the Bank’s balance sheet from LIBOR to alternative reference rates.
• Perform market risk analyses and generate reports in Balance Sheet Systems (such as QRM, Finastra Summit or Internal Modelling). Build a robust understanding of the interest rate risk and basis risks on the balance sheet using available Balance Sheet Systems. This work will result in standardized analyses and reports available to continually measure evolving interest rate risks on the balance sheet including those transitioned away from LIBOR.
• Understand the balance sheet items and how they are modelled in Balance Sheet Systems and should look to identify gaps and areas of improvement. This will require experiential understanding of modelling balance sheet financial risks and interdepartmental collaboration with Risk, Accounting and ITE.
• In coordination with the stakeholders in treasury and risk, support the transition of the IDB pricing and valuation from IBOR rates to the new reference rates and ensure curves used for valuation are appropriate. Work with the Treasury System (Finastra’s Summit) vendor on related projects (Curve Modelling, Performance Attribution, FTP, among others).
• Implement new/refine existing Interest Rate Risk reports, including AEaR, EVE, Basis Risk, Repricing Gaps, etc
• Support any activities emerging from and related to the LIBOR Transition Program.

  What you'll need:

  • Education: Master's degree or equivalent in Engineering, Business Administration, Finance, or related disciplines. Phd is a plus.
  • Experience: 10 years or more experience in modelling of financial products, risk management, fixed income. At least five years of experience in derivatives and market risk analysis including the management of QRM processing and analysis. Knowledge of financial and accounting concepts and proficiency in computer applications.
  • Languages: Proficiency in Spanish and English, spoken and written, is required. Additional knowledge of French and Portuguese is preferable.

    Key skills:

    Technical Skills:

    • Strong analytical and quantitative skills with an academic background in engineering, math or finance.

      Soft Skills:

      • Learn continuously.
      • Collaborate and share knowledge.
      • Focus on clients.
      • Communicate and influence.
      • Innovate and try new things.
      • Ability to communicating effectively, both written and verbally, within a professional services business environment.
      • Strong analytical, problem-solving and project management skills are