Model Risk Officer Senior Officer

The Financial and Operational Risk Management Division is looking for a professional with a financial model development and validation background, specifically in credit and market risk models, to support IDB Invest management with model risk governance. 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 the financial and non-financial risks of IDB Invest, including operational risk. 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 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.

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 risk models, coding skills, good understanding of IDB Invest’s 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, and Power BI. Team spirit, proactivity, intellectual curiosity, adaptability, and a strong desire to be part of IDB Invest.

What you’ll do:

• Focus primarily on market and credit risk models, 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 or approach and its calibration;
• Replicating model results;
• Proposing and applying testing methods to verify model performance (e.g. model back-testing);
• Producing alternative approaches and benchmarks to challenge models 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.
• 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 expert in the field of market and credit risk modeling.
• Execute model validation activities on other model types (e.g. asset valuation, operational risk) on an as needed basis.

What you’ll need:

Education:

• Master’s 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 developing or evaluating market risk models (e.g. Interest Rate/FX simulation models, volatility models, VaR, XVA, CCR, Funding/ALM models), derivatives pricing models, and credit risk models (e.g. PD, LGD, EAD, credit VaR (e.g. Risk Frontier); knowledge of financial data sourcing, processing and infrastructure, coding; knowledge of statistical techniques for data sampling, predictive models, monte-carlo simulations, parameter estimation and statistical significance, hypothesis testing, model selection; experience in the validation of Bloomberg’s suite of models (e.g. BRM, XBM); hands-on experience in producing advanced reports with BI tools, especially Power BI. Additional experiences in pricing models for securitization products, economic capital models, credit provisioning models, or operational risk models 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:

• Proficiency in English and one of the other Bank official languages (Spanish, French or Portuguese) is required.

Source: https://iadbcareers.referrals.selectminds.com/jobs/idbinvest-model-risk-officer-senior-officer-6343