Model Risk Management Consultant
Location: Washington DC – Headquarters
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.
IDB Invest is a multilateral development bank committed to promoting the economic development of its member countries in Latin America and the Caribbean through the private sector. IDB Invest finances sustainable companies and projects to achieve financial results and maximize economic, social, and environmental development in the region. With a portfolio of $20.1 billion under management and ~500 clients in 25 countries, IDB Invest provides innovative financial solutions and advisory services that meet the needs of its clients in a variety of industries.
The Financial and Operational Risk division is looking for a professional with financial model development and validation background, specifically in asset valuation and asset pricing models, to support IDB Invest management with the governance of model risk. 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 Financial and Operational Risk Management Division, part of the Risk Management Department, is responsible for managing financial and operational risks of IDB Invest. The team is divided into four main groups:
- Portfolio Management: responsible for overseeing the growth of the portfolio, considering concentrations and other risk parameters, providing portfolio risk guidance to the business areas, managing portfolio limits, RAROC, Economic Capital, Risk Management MIS, reporting and limit controls, and quarterly calculation of provisions under the CECL.
- 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.
About this position:
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 developing and improving the team’s risk management capabilities. 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 Invest’s policies and limits, project management skills to interact with IT and 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 you’ll do
- Primarily on asset valuation models (private equities, debt securities) and under little supervision, you will execute the model validation/assessment program prepared by the team lead. This will include, but will not be limited to:
- 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 model’s conceptual soundness, assumptions or approach and its calibration;
- Replicating the model’s results;
- Proposing and applying testing methods to verify the model’s performance (e.g. model back-testing/benchmarking);
- 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 Group and higher level committees;
- Documenting the Model Validation Templates.
- Review quarterly valuations and proper utilization of models.
- Produce research on technical topics in the interest of the Team’s goals and activities.
- Follow-up on the resolution of identified issues.
- Manage the relationship with model owners.
- Be a knowledge 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 a need basis.
What you'll need
- Education: Master’s University degree or equivalent in a quantitative field, preferably in mathematics, economics, engineering, statistics, actuarial science, risk or finance. FRM/CFA is a plus.
- Experience: Needed: 5+ years of technical experience in corporate finance, and the valuation/pricing of debt assets/private equity investments 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 structures); strong communication skills, including preparation and delivery of presentations to Management; Plus: Experience in model validation (effective challenge of conceptual soundness/ assumptions, testing), knowledge of financial data infrastructure, processing and management, coding; knowledge of statistical techniques for data sampling, predictive models, parameter estimation and statistical significance, hypothesis testing, model selection; Additional experiences in economic capital, market risk, ALM or operational risk. Extra: hands-on experience in producing advanced reports with BI tools, especially Power BI; process oriented to designing and implementing automated processes.
- 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; Strong coding skills (e.g. VBA, R, MATLAB Python, Julia); Experience with dynamic modeling solutions like Crystal Ball.
Key skilll:
- Learn continuously.
- Collaborate and share knowledge.
- Focus on clients.
- Communicate and influence.
Requirements