Model Risk Management Consultant

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.

Source: https://iadbcareers.referrals.selectminds.com/jobs/model-risk-management-consultant-6408