RMG/RMT Treasury Risk Management DTC Contractual, Washington DC

• Organization: IDB - Inter-American Development Bank
• Country: United States
• City: Washington
• Office: IDB Washington

Inter-American Development Bank (IDB)
1300 New York Avenue, N.W.
Washington, D.C. 20577, USA
Tel: (202) 623-1000
Fax: (202) 623-3096

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United States
Country: USA
RMG/RMT Treasury Risk Management DTC Contractual
TERMS OF REFERENCE
Background
The Office of Risk Management (RMG) needs consultancy services to implement a number of work programs and initiatives in its Treasury Risk Management Unit (RMG/RMT). These activities help support RMG's goals to further strengthen the framework for analyzing, measuring and managing risks in the Bank's Treasury portfolios.
Working in coordination with RMG/RMT and other Bank staff, the contractual will support work programs to periodically update investment portfolio risk metrics, conduct risk analyses on structured investment assets, monitor market developments that may impact Treasury portfolios, and contribute to the preparation of risk reports.
Main Activities
The main responsibilities of the contractual include

• Maintain and update key modeling assumptions and inputs required to run various risk measures for the Bank's investment portfolio, including risk sensitivities, Value-at-Risk (VaR), and stress tests.
• Collaborate with the RMG/RMT team in implementing stress tests to enhance understanding of the portfolio impact of extreme risk scenarios.
• Conduct thorough due diligence research on legacy asset-backed and mortgage-backed securities (ABS/MBS), using prospectus, investor reports, rating agencies and other sources to understand structural features and risks (waterfall, credit enhancement, collateral, etc.).
• Support a joint working group from RMG/RMT and Treasury-Investments in performing periodic risk assessments of select investment securities. For investment structures, define assumptions for modeling fundamental value and perform stress tests in Intex. Present findings and any relevant recommendations.
• Provide support to staff in reviewing new issuers in select fixed income sectors (including covered bonds) to determine eligibility and appropriateness for Treasury portfolios.
• Perform daily risk monitoring of issuers and structures in assigned sectors, including risk indicators, rating actions and market developments affecting these issuers.
• Prepare a summary of relevant market developments and portfolio risk exposures and present to a joint Finance and Risk Management group at weekly market meetings.
• Provide support to staff working on various RMG/RMT initiatives including revisions to risk guidelines and limits, and roll-out of reporting on enhanced risk metrics.
• Provide support for the generation of daily risk monitoring and compliance reports.
• Perform other risk analyses, reviews, and reporting tasks as directed by the Chief, RMG/RMT or the Treasury & Risk Lead Specialist, RMG/RMT.
• Education: Master's degree in Finance, Economics, Business Administration, or a related discipline.
• Experience: At least 5 years of experience in finance, capital markets, treasury risk management and/or portfolio management. Knowledge and experience in asset-backed or mortgage-backed securities is a plus. Advanced computer skills, including PC skills (spreadsheets, databases, and word processing) and the ability to program and develop applications using software such as Visual Basic. Strong analytical, communication, and teamwork skills are required.
• Languages: Fluency in English is required, including the ability to draft well-written analyses and proposals.

Coordination
Team Leader or Coordinator: Treasury & Risk Lead Specialist (RMG/RMT).
Characteristics of the Consultancy

• Consultancy Category & Modality: Defined Term Contractual.
• Contract Duration: 19 months.
• Place(s) of work: Washington DC/Headquarters.

Payment and Conditions: Compensation will be determined in accordance with Bank's policies and procedures. The Bank, pursuant to applicable policies, may contribute toward travel and moving expenses. In addition, candidates must be citizens of an IDB member country.
Visa and Work Permit: The Bank, pursuant to applicable policies, may submit a visa request to the applicable immigration authorities; however, the granting of the visa is at the discretion of the immigration authorities. Notwithstanding, it is the responsibility of the candidate to obtain the necessary visa or work permits required by the authorities of the country(ies) in which the services will be rendered to the Bank. If a candidate cannot obtain a visa or work permit to render services to the Bank the contractual offer will be rescinded
Consanguinity: Pursuant to applicable Bank policy, candidates with relatives (including the fourth degree of consanguinity and the second degree of affinity, including spouse) working for the Bank as staff members or Complementary Workforce contractuals, will not be eligible to provide services for the Bank.
Diversity: The Bank is committed to diversity and inclusion and to providing equal opportunities to all candidates. We embrace diversity on the basis of gender, age, education, national origin, ethnic origin, race, disability, sexual orientation, religion, and HIV/AIDs status. We encourage women, Afro-descendants and persons of indigenous origins to apply.