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About this position
The Financial and Operational Risk Division of the Risk Management Department of IDB Invest is looking for a professional with financial model development and validation background, specifically in asset valuation and asset pricing models, to support IDB Invest in the implementation of model risk framework. The candidate is expected to be a knowledgeable, proactive, self-starter and actively contribute to the development of automated reports, models, processes, and controls related to the function.
The team:
The Financial and Operational Risk Management Division is responsible for managing financial and operational risks of IDB Invest. The team is divided into four main groups:
Portfolio Management: responsible for providing portfolio risk guidance to the business areas, managing concentration and portfolio limits, RAROC, Risk Management MIS, reporting and limit controls, and quarterly calculation of provisions. Market Risk: responsible for the design, implementation, update, and ongoing execution of the Market Risk and Asset and Liability Management framework. The team identifies, quantifies and monitors interest rate risk and foreign exchange risk of the balance sheet, and the price risk of the liquid investment portfolio. This group is also responsible for counterparty credit risk management. Model Risk and Capital Adequacy: responsible for the internal economic capital models, rating agencies models and the model governance framework, including model validation. Operational Risk Management: responsible for assessing and maintaining an appropriate internal control environment, developing and managing a full operational risk framework as a second line of defense.This position is to work in the Model Risk and Capital Adequacy team, reporting to its lead. The candidate will play a key role in deploying IDB Investโs model governance framework throughout the organization. The position will require combining risk management knowledge, experience with the building and the verification and challenge of financial models, coding skills, good understanding of IDB Investโs policies and limits, project management skills to interact with IT and an excellent hands-on attitude to develop and improve reports and controls in Excel, Power Point, Power BI. The candidate is expected to have team spirit, proactivity, intellectual curiosity, adaptability, and strong desire to be part of the IDB Invest.
What youโll do
You will execute the model validation/assessment program including: Collecting and assessing the quality of model documentation produced by model owners (Microsoft Word/PowerPoint and pdf presentations, spreadsheets, codes, etc.); Verifying the relevance and the quality of the model data and its sources; Evaluating the appropriateness of the modelโs conceptual soundness or approach and its calibration; Replicating models results; Proposing and applying testing methods to verify the modelโs performance (e.g. model back-testing); Producing alternative approaches and benchmarks to challenge the model and its data; Identifying model gaps and issues, along with severity and remediation actions; Defending the validation findings in working groups and higher level committees; Documenting the Model Validation Templates. Review quarterly valuations and proper utilization of models. Follow-up on the resolution of identified issues. Manage the relationship with model owners. Be a subject matter expert in the field of asset pricing and valuation. Execute model validation activities on other model types (e.g. market, credit, operational risk) on an as needed basis. Produce research on technical topics in the interest of the Teamโs goals and activities.What you'll need
Education: Master degree in a quantitative field, preferably in mathematics, economics, engineering, statistics, actuarial science, risk or finance. FRM/CFA is a plus. Experience: 4+ years of technical experience in corporate finance, asset/equity valuation/pricing acquired at a peer institution or international bank; experienced knowledge of asset pricing and valuation models and frameworks (e.g. DCF, CAPM, APT), derivatives pricing models (e.g. options, CDS), hybrid securities, securitization structuresโฆ); knowledge of financial data sourcing, processing and management, coding; knowledge of statistical techniques for data sampling, predictive models, parameter estimation and statistical significance , hypothesis testing, model selection, hands-on experience in producing advanced reports with BI tools, especially Power BI. Additional experiences in economic capital, market risk, ALM or operational risk will be considered a plus; strong communication skills, including preparation and delivery of presentations to management; process oriented to designing and implement automated process. Languages: oral and written proficiency in English required. Spanish is a plus. Systems: Advanced user of Microsoft tools: Excel, Power point, Word and Power BI (other similar tools like Tableau will be also considered), SQL; Advanced coding skills (e.g. VBA, R, MATLAB Python, Julia,...)
Requirements
ยท Citizenship: No requirements
ยท Consanguinity: You have no family members (up to the fourth degree of consanguinity and second degree of affinity, including spouse) working at the IDB, IDB Invest, or IDB Lab.
Type of contract and duration
ยท International: International staff contract, 36 months initially, renewable upon mutual agreement.
What we offer
The IDB group provides benefits that respond to the different needs and moments of an employeeโs life. These benefits include:
ยท A competitive compensation package
ยท Leaves and vacations