Treasury and Risk Senior Specialist –Quantitative Analysis
Location: Washington, D.C.
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.
About this position
We are looking for a proactive, creative and committed Treasury and Risk Senior Specialist-Quantitative Analysis to lead quantitative measurement of risks in the Bank’s derivatives portfolio.
You will work in Treasury Risk Management, part of the Office of Risk Management. Treasury risk management is responsible for overseeing risks in the Bank’s derivatives portfolio and investment portfolio.
What you’ll do:
You will lead the development of innovative and effective risk management methodologies, models, and analytical solutions to support the Bank’s treasury risk management activities in a highly complex and dynamic financial market environment. You will implement work programs and projects to strengthen the framework for analyzing, measuring, and managing risks, including the below functions:
Lead the quantitative analysis of risks of various types of financial instruments in the IDB’s derivatives, investment, and funding portfolios. Own derivatives analytics, including overseeing systems to calculate derivatives counterparty risk metrics. Lead the development and implementation of state-of-the-art analytical tools and systems to measure credit risk in the Bank's derivative portfolios. Maintain internally developed pricing models and risk systems and implement improvements as appropriate; advise on architecture for the potential new system; lead implementation of the potential new system from a quantitative perspective; ensure a smooth transition from one system to another. Evaluate new, complex, or illiquid structures and evolve analytics and systems to handle them. Determine acceptable availability of market data inputs (yield curves, volatilities, etc.) to run risk models. Introduce advances in the portfolio analytics framework (including strategic asset allocation) to align portfolio strategies and risks with the bank's investment objectives and risk tolerance. Drive automation of risk measurement in coordination with technology, risk managers, and treasury, devising action plans for data needs. Work with the derivatives risk management team to ensure a smooth handoff of analytical data to limit and reporting systems. Evolve risk measures as quantitative risk modeling, liquidity, market practices, and regulations develop. Develop analytics and tools to enable the Bank to manage swap exposures and achieve other Bank objectives optimally. Partner with IDB Treasury and risk managers to enhance transparency in derivative pricing costs and exposure optimization. Contribute to the development of quantitative multi-factor stress testing in conjunction with other units, Create and maintain thorough documentation for models and systems and contribute to regular reporting. Work on projects across priorities across priorities as assigned by Unit ChiefsWhat you'll need
Education: Ph.D. or master’s degree in finance, Economics, Mathematics, Physics, Statistics, Engineering, or a similar quantitatively oriented degree (Ph.D. is preferred). Experience and functional knowledge in: At least five years of relevant experience in quantitative finance or mathematical modeling with a focus on fixed income and FX; Outstanding analytical and quantitative skills, with a clear ability to add value to the risk management process through creative thinking and in-depth and disciplined analyses; Broad and deep knowledge of global financial markets and products, and ability to assess the financial risks of multi-currency and less liquid derivative portfolios; Experience in the design, development, and implementation of state-of-the-art modeling tools and methodologies for portfolio risk management and securities valuation; Experience in the use of advanced techniques in quantitative finance, such as stochastic calculus, portfolio optimization, econometrics, term structure modeling, and Monte Carlo simulation; Ability to draft well-written, coherent analyses and proposals to senior management and to engage senior decision-makers on complex risk issues; Proven ability to find practical solutions to complex problems. Advanced computer skills, including the ability to program and develop applications using software such as Matlab, C++, Python, and Visual Basic. Familiarity with specialized risk models or financial systems such as QRM and Summit is a plus. Excellent interpersonal and communication skills, including presenting complex and technical issues simply. Languages: Fluency in English is required. Knowledge of Spanish, Portuguese, or French is preferred.Key skills
Learn continuously. Collaborate & Share knowledge. Focus on clients. Communicate and influence. Innovate and take risks.Requirements
Citizenship: You are a citizen of one of our 48-member countries. We may offer assistance with relocation and visa applications for you and your eligible dependents.
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
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 employee’s life. These benefits include:
A competitive compensation package, including an annual base salary expressed on a net-of-tax basis.
Leaves and vacations: 24 days of paid time off + 8 personal days + sick leave + gender- neutral parental leave.
Health Insurance: IDB Group provides employees and eligible dependents with a robust medical benefits program that covers medical, dental, vision, preventive care, and prescription drugs.
Pension plan: defined benefit pension plan that provides financial security and support employees in planning for their future.
We offer assistance with relocation and visa applications for you and your family when it applies.
Hybrid and flexible work schedules.
Health and well-being: Access to our Health Services Center that provides preventive care and health education for employees.
Development support: We offer tools to boost your professional profile, such as mentoring, 1:1 professional counseling, training and learning opportunities, language classes, mobility options, among others.