Risk management Derivatives consultant

The Office of Risk Management (RMG) at the Inter-American Development Bank (IDB) is looking for a dynamic and innovative derivatives risk management consultant who will help us change people lives in Latin America and the Caribbean implement a number of initiatives and tasks in its Treasury Risk Management (RMT) Unit. These activities are consistent with RMG’s goals to further strengthen the framework for analyzing, measuring, and managing risks in the Bank’s Treasury portfolios.

• Working in coordination with other RMT and Bank staff, the candidate will implement a number of initiatives and functions including portfolio stress testing and risk measurement, swap valuation and collateral management, portfolio risk monitoring and reporting, and negotiation of ISDA Master Agreements.
• Leverage use of the Bank’s systems to produce daily derivative risk measures and reports; assist in daily swap valuation and collateral management to ensure accurate and efficient operations.
• Collaborate with RMT staff to evaluate and monitor risks associated with the derivative portfolio, employing relevant metrics, scenario analysis, and stress testing tools.
• Support RMT staff in negotiating new ISDA Master Agreements, GRMAs, and amendments to existing agreements and analyzing the implications of new regulatory developments in collaboration with Treasury and Legal teams.
• Monitor and summarize relevant market and portfolio developments, presenting findings at weekly capital market meetings.
• Test and evaluate alternative risk measures and platforms.
• Perform research and data analysis to support the revision of risk guidelines and limits, as well as ISDA/CSA collateral and risk mitigation provisions.
• Identify opportunities for process automation and optimization in reporting, ensuring efficiency and accuracy.
• Coordinate with multiple units in Finance and RMG on the timely collection and validation of standard and ad-hoc additional data and information needed for the Risk Management Report document, PowerPoint presentation and related Dashboard.
• Contribute to the completion of various components of the Risk Management Report, working with other RMG officers in the generation of interim and final documents, and support the development of Power BI-based tables and charts.
• Implement and monitor processes for compliance monitoring on risk policies, guidelines and limits designed to control market, credit, and liquidity risks in the Bank’s treasury portfolios, disseminating notifications of breaches as appropriate.
• Ensure timely update of over 1,000 issuers, counterparties and related entities in the system, reflecting current eligibility status and proper set-up of newly approved issuers (e.g., hierarchies and limit structure) for compliance monitoring.
• Undertake additional analyses, reviews, and reports as assigned by the Chief, Treasury Risk Management Unit, RMG/RMT, or the Derivatives Risk Manager, RMG/RMT.

Education:

• Strong quantitative background. Master’s degree in finance, Business Administration, Economics, Statistics, Computer Science, or a related discipline preferred.

Experience:

• At least 5 years of experience in finance, capital markets, risk management and/or portfolio management with exposure to derivatives a plus. Outstanding analytical and problem-solving skills, with ability to add value to the risk management process through creative thinking and in-depth and disciplined analyses. Strong communication skills, including the ability to draft well-written, coherent analyses and documents for senior management. Coding skills: Mid-level knowledge in VBA, Python (primarily pandas) and SQL, this will be tested.

Languages:

• Proficiency in English.

Source: https://iadbcareers.referrals.selectminds.com/jobs/risk-management-derivatives-consultant-6205