The Credit Risk Department (CROCR) ensures that the Bank’s credit risk exposure is commensurate with the risk appetite of stakeholders and strikes the appropriate balance between financial and development objectives. CROCR manages the credit risk inherent in IBRD’s loan portfolio. CROCR’s core functions include, among others (i) Assessing and rating country credit risk for all IBRD borrowers; (ii) Assessing country eligibility for IBRD resources; (iii) Influencing IBRD’s lending strategy and assessing lending plans against lending allocations as established through the exposure management framework: (iv) Anticipating countries that are vulnerable to crises; (v) Participating in arrears workouts for IBRD borrowing countries; (vi) Engaging with the Paris Club of bilateral creditors; and (vii) Ensuring IBRD is adequately for loan losses; and (viii) Assessing/Monitoring the size of credit shocks (unexpected losses) as part of IBRD’s capital adequacy framework.
The Market & Counterparty Risk Directorate (CROMC) focuses on oversight of risk in three areas: 1) Market Risk, which covers ALM, interest rate, spread (funding and investments) and FX risk, and the availability/cost of or access to ready liquidity and long-term funding; 2) Commercial (i.e. not sovereign lending) Credit Risk, which includes risks to IBRD resulting from changes in creditworthiness of IBRD’s commercial counterparties; and 3) Model Risk, which covers financial risk models in IBRD in terms of model governance.
The Operational Risk department (CROOR) within the CRO is responsible for assisting business units in identifying, assessing, and managing operational risk, including the risk of disruption. CROOR is headed by a Director and has three units: the Operational Risk unit, the Business Continuity Management unit and the Enterprise Risk Management unit.
Note: If the selected candidate is a current Bank Group staff member with a Regular or Open-Ended appointment, s/he will retain his/her Regular or Open-Ended appointment. All others will be offered a 3 year term appointment.
The Financial Officer is responsible for performing activities in the following areas:
• Develop, and implement quantitative financial analysis and tools/methods for the risk analysis and oversight of IBRD, IDA and Trust Fund market risks, including identification of analytical approach, inputs and assumptions.
• Conduct quantitative financial analyses of market risks (including ALM, liquidity, FX); domains include full balance sheet analysis, portfolio and security analysis (including new business opportunities) covering a range of financial instruments including highly customized OTC non-financial index linked structures, and insurance-like instruments linked to weather, catastrophe, carbon, and longevity variables, sovereign debt, commodities, equities and the full spectrum of fixed income securities
• Identify and apply market standard approaches to modeling in the areas of regulatory and economic capital, valuation, CVA/PFE, scenario and stress testing, Value at Risk, risk and performance attribution and risk/reward optimization; maintain up-to-date knowledge and skills in these areas.
• Create narrative and slide presentations describing risk assessments and approaches used to perform the assessments (for use with Board, Executive Management and CROMC leadership); Produce regular reports of risk indicators.
• Engage, and collaborate with various internal units (Treasury, Financial Reporting) on development implementation and socialization of new analyses, metrics and frameworks
• Support development and implementation of new risk frameworks, policies and guidelines.
• Perform ad hoc quantitative analyses as requested by Senior Management and the Board to support CFRMC’s mission and responsibilities
• Advanced degree preferably in finance, mathematics or engineering and 5 years relevant work experience in finance and investments (with focus on risk management, financial modeling or quantitative research);
• Proven quantitative and qualitative analytical skills in the area of Capital/VaR analysis, scenario/stress testing, valuing/pricing of complex structures; including in depth knowledge of data analysis and financial modeling techniques; interest rate modeling and complex statistical analysis
• Ability to develop models and conduct analyses effectively under tight deadlines
• Ability to create and deliver technical presentations and write policy/strategy and analytical documents
• Working experience with one or more of the following programming languages VBA, SQL, Matlab, SAS, C and C++; Advanced Excel skills
• Experience with capital markets, market conventions, and market data manipulations;
• Strong theoretical and practical experience with derivative instruments;
• Familiarity with Basel and other relevant external standards is a plus
• Original thinking and quick learning abilities with strong initiative and drive;
• Highest ethical standards.
Technical Writing and Presenting – Knows the audience’s knowledge of the subject, needs and concerns, and is able to choose the most appropriate medium and to structure the messaging properly.
Financial Risk Analysis & Modeling – Demonstrates in-depth proficiency level sufficient to recommend potential solutions to mitigate currency, price factor or interest rate risks.
Capital Markets Financial Literacy – Reads, analyzes, and can compile financial statements of other financial documents and can assist, consult or lead others.
Client Orientation – Maintains client relationships in the face of conflicting demands or directions and provides evidence-based advice and solutions based on sound diagnosis and knowledge.
Drive for Results – Identifies the needed resources to accomplish results involving multiple stakeholders and finds solutions to obstacles affecting key deliverables.
Teamwork (Collaboration) and Inclusion – Shows leadership in ensuring the team stays organized and focused, and actively seeks and considers diverse ideas and approaches.
Knowledge, Learning and Communication – Leads in the sharing of best practice, trends, knowledge and lessons learned across units and with clients and partners, articulating ideas verbally and in writing in a clear and compelling way across audiences of varied levels.
Business Judgment and Analytical Decision Making – Gathers inputs, assesses risk, considers impact and articulates benefits of decisions for internal and external stakeholders over the long term.
The CROVPU endeavors to foster an inclusive environment in which the unique skills, experiences, and backgrounds of CRO’s staff are valued, respected and leveraged. We value diversity in the workplace and recognize that it is critical to our success as a group.