E T Consultant

Finance & Economy

Contract

This is a World Bank Group grade: EC1 contract. More about World Bank Group grade: EC1 contracts.

E T Consultant

Description

Do you want to build a career that is truly worthwhile? Working at the World Bank Group provides a unique opportunity for you to help our clients solve their greatest development challenges. The World Bank Group is one of the largest sources of funding and knowledge for developing countries; a unique global partnership of five institutions dedicated to ending extreme poverty, increasing shared prosperity and promoting sustainable development. With 189 member countries and more than 120 offices worldwide, we work with public and private sector partners, investing in groundbreaking projects and using data, research, and technology to develop solutions to the most urgent global challenges. For more information, visit www.worldbank.org

The World Bank

The World Bank is one of the world's largest sources of funding and knowledge for developing countries and works in more than 100 developing economies to improve living standards and fight poverty. For each client, the World Bank uses financial resources and extensive experience to help our client countries to reduce poverty, increase economic growth, and improve quality of life. There are five World Bank Group institutions, each of which specializes in different aspects of development: the International Bank for Reconstruction and Development (IBRD), the International Development Association (IDA), the International Finance Corporation (IFC), the Multilateral Investment Guarantee Agency (MIGA), and the International Centre for Settlement of Investment Disputes (ICSID).

The World Bank's Twin Goals

The World Bank has twin goals of ending extreme poverty and promoting shared prosperity. Its capacity to fulfill these goals is underpinned by a Treasury Vice Presidency ("Treasury") that is widely recognized across the global capital markets for its dynamic professionalism and its record of innovation in obtaining outperformance for its clients in all the Treasury's functions.

The World Bank Treasury

Treasury is the Vice Presidency performing treasury functions for IBRD and for other members of the World Bank Group. Its activities are organized and grouped along three departments: (1) capital markets, investments & financial products, (2) asset management and advisory, and (3) treasury operations. Treasury has been a large and significant player in the international financial markets for more than 70 years and has achieved a global reputation as a prudent and innovative borrower, investor, and risk manager. Treasury is responsible for: (i) managing more than $185 billion in assets for the World Bank and other official-sector investors; (ii) leading the World Bank's financing program in international and domestic bond and derivatives markets; (iii) conducting asset and liability management for IBRD and IDA's balance sheets; (iv) overseeing the development and outreach related to the financing and hedging products that IBRD and IDA provide for their developing-country clients; and (v) collaborating with official sector institutions of member countries to help build their capacity in asset and public debt management.

Within Treasury, the Capital Markets, Investments & Financial Products department (CMI) is responsible for managing annual funding programs for IBRD (approx. $55-65 billion) and IDA (approx. $10-15 billion) and building sustainable capital markets, managing liquid asset portfolios for IBRD and IDA (approx. $115-125 Billion), and the asset and liability management aimed at reducing risk on IBRD and IDA's balance sheets. CMI also advises clients on loans and risk management products, and structures financial products for development. CMI places a strong emphasis on achieving the best possible financial terms within prudent market, liquidity, credit, operational, and reputational risk parameters. CMI is comprised of six teams carrying out these responsibilities. The working environment is fast-paced and dynamic, as the teams regularly deal with new ideas, projects, and challenges.

CMIIL - Investment management and Liquidity operations: This team manages funds raised for lending activities of IBRD and IDA, by investing the funds in high-grade assets. The main objectives are principal protection and ensuring sufficient cash flow to meet IBRD’s and IDA’s financial commitments. The team also seeks a reasonable return to contribute to net income

CMIDO – Debt Origination: This team is responsible for raising long and short-term funding in the global capital markets for both IBRD and IDA. The goal is to achieve funding on a sustainable basis and at the best possible cost through a variety of programs, markets, currencies, and instruments including both plain vanilla and structured notes. The team execute yearly US$60 to US$80 bn of medium-term bonds and a total of approx. USD100 bn notional swaps to hedge all the issuances. The team also manages 2 short term funding programs (IBRD Discount Notes and IDA Bills) with about US$25 bn outstanding.

CMIIS - Investor Relations and Sustainable Finance: This team works to cultivate, maintain and strengthen investor, rating agency and financial media relationships for IBRD, IDA and IFFIm to help achieve CMI’s funding goals. The team focuses on specific outreach activities, and works closely with other teams in CMI, TRE and other VPUs to contribute to the World Bank’s development purpose and build sustainable capital markets, including by engaging with investors and market participants on environmental, social and governance (ESG) issues.

CMIAP – ALM and Policy: This team is responsible for analytics, monitoring, and policy formulations for activities that impact IBRD and IDA’s balance sheets. The team participates in formulation of policy, guideline, and processes that impact the financial risk and income of IBRD and IDA and works closely with the relevant teams, sets limits and monitors the pre-defined and agreed funding and investment activities. The team also oversees implementation and execution of capital markets activities to support IBRD and IDA's balance sheet management and provides liquidity calculation and reporting and analysis for rating agencies.

CMIMS - Market Solutions and Structured Finance: This team designs and executes market-based risk management and structured transactions for external and internal clients and provides structuring expertise and advisory services to address development challenges.

CMIFP – Financial Products and Clients Solutions: This team helps clients find solutions for their development financing and risk management needs leveraging IBRD and IDA’s financial products and TRE’s financial expertise and market access. It provides support for IBRD and IDA operations and clients on the full menu of financial and risk management products, pricing and loan customization, blending and co-financing, IDA to IBRD transition, and thematic bond issuance strategies and reporting, among other areas.

ETC will be a member of CMIDO Team with roles and responsibilities outlined below:

Duties and Accountabilities:

• Design, develop, and implement quantitative financial models and tools for the valuation of structured fixed income products, and exotic derivative instruments for the Bank’s funding portfolio. Including but not limited to interest rate and FX option embedded structures with complex cashflows, multi-asset class linked instrument (equities, commodities, inflation, emerging markets currencies).

• Research, design, develop, and verify models for highly customized OTC non-financial index linked structures, and insurance-like instruments linked to weather, catastrophe, carbon, and longevity variables.

• Work with traders to analyze newly proposed transactions. Determine and document model, and market data requirements, and prepare required risk analyses and documentation to request approval.

• Engage, and collaborate with various internal units (Model validation, risk department and Operations) to secure new transaction approval, and address any issues with respect to valuation, collateral, and risk.

• Perform and deliver timely monthly valuations for complex liability transactions portfolio, and work with the model validators to resolve any valuation issues related to financial reporting. Participate in discussion with internal, and external auditors, and act as subject matter expert with respect to valuation models.

• Participate in cross-unit projects aimed at improving the valuation, and risk infrastructure of the Treasury. Represent CMI’s view, and priorities in internal discussions, communicate with external software vendors and service providers. Contribute to the software development and implementation including business requirements, project planning and user acceptance testing.

• Perform ad hoc quantitative analyses as request by senior management to support the Capital Markets business line, and Treasury strategic initiatives.

• Provide quantitative, and analytical support to respond to client’s enquiries related to Capital Markets, and risk management products.

Do you want to build a career that is truly worthwhile? Working at the World Bank Group provides a unique opportunity for you to help our clients solve their greatest development challenges. The World Bank Group is one of the largest sources of funding and knowledge for developing countries; a unique global partnership of five institutions dedicated to ending extreme poverty, increasing shared prosperity and promoting sustainable development. With 189 member countries and more than 120 offices worldwide, we work with public and private sector partners, investing in groundbreaking projects and using data, research, and technology to develop solutions to the most urgent global challenges. For more information, visit www.worldbank.org

The World Bank

The World Bank is one of the world's largest sources of funding and knowledge for developing countries and works in more than 100 developing economies to improve living standards and fight poverty. For each client, the World Bank uses financial resources and extensive experience to help our client countries to reduce poverty, increase economic growth, and improve quality of life. There are five World Bank Group institutions, each of which specializes in different aspects of development: the International Bank for Reconstruction and Development (IBRD), the International Development Association (IDA), the International Finance Corporation (IFC), the Multilateral Investment Guarantee Agency (MIGA), and the International Centre for Settlement of Investment Disputes (ICSID).

The World Bank's Twin Goals

The World Bank has twin goals of ending extreme poverty and promoting shared prosperity. Its capacity to fulfill these goals is underpinned by a Treasury Vice Presidency ("Treasury") that is widely recognized across the global capital markets for its dynamic professionalism and its record of innovation in obtaining outperformance for its clients in all the Treasury's functions.

The World Bank Treasury

Treasury is the Vice Presidency performing treasury functions for IBRD and for other members of the World Bank Group. Its activities are organized and grouped along three departments: (1) capital markets, investments & financial products, (2) asset management and advisory, and (3) treasury operations. Treasury has been a large and significant player in the international financial markets for more than 70 years and has achieved a global reputation as a prudent and innovative borrower, investor, and risk manager. Treasury is responsible for: (i) managing more than $185 billion in assets for the World Bank and other official-sector investors; (ii) leading the World Bank's financing program in international and domestic bond and derivatives markets; (iii) conducting asset and liability management for IBRD and IDA's balance sheets; (iv) overseeing the development and outreach related to the financing and hedging products that IBRD and IDA provide for their developing-country clients; and (v) collaborating with official sector institutions of member countries to help build their capacity in asset and public debt management.

Within Treasury, the Capital Markets, Investments & Financial Products department (CMI) is responsible for managing annual funding programs for IBRD (approx. $55-65 billion) and IDA (approx. $10-15 billion) and building sustainable capital markets, managing liquid asset portfolios for IBRD and IDA (approx. $115-125 Billion), and the asset and liability management aimed at reducing risk on IBRD and IDA's balance sheets. CMI also advises clients on loans and risk management products, and structures financial products for development. CMI places a strong emphasis on achieving the best possible financial terms within prudent market, liquidity, credit, operational, and reputational risk parameters. CMI is comprised of six teams carrying out these responsibilities. The working environment is fast-paced and dynamic, as the teams regularly deal with new ideas, projects, and challenges.

CMIIL - Investment management and Liquidity operations: This team manages funds raised for lending activities of IBRD and IDA, by investing the funds in high-grade assets. The main objectives are principal protection and ensuring sufficient cash flow to meet IBRD’s and IDA’s financial commitments. The team also seeks a reasonable return to contribute to net income

CMIDO – Debt Origination: This team is responsible for raising long and short-term funding in the global capital markets for both IBRD and IDA. The goal is to achieve funding on a sustainable basis and at the best possible cost through a variety of programs, markets, currencies, and instruments including both plain vanilla and structured notes. The team execute yearly US$60 to US$80 bn of medium-term bonds and a total of approx. USD100 bn notional swaps to hedge all the issuances. The team also manages 2 short term funding programs (IBRD Discount Notes and IDA Bills) with about US$25 bn outstanding.

CMIIS - Investor Relations and Sustainable Finance: This team works to cultivate, maintain and strengthen investor, rating agency and financial media relationships for IBRD, IDA and IFFIm to help achieve CMI’s funding goals. The team focuses on specific outreach activities, and works closely with other teams in CMI, TRE and other VPUs to contribute to the World Bank’s development purpose and build sustainable capital markets, including by engaging with investors and market participants on environmental, social and governance (ESG) issues.

CMIAP – ALM and Policy: This team is responsible for analytics, monitoring, and policy formulations for activities that impact IBRD and IDA’s balance sheets. The team participates in formulation of policy, guideline, and processes that impact the financial risk and income of IBRD and IDA and works closely with the relevant teams, sets limits and monitors the pre-defined and agreed funding and investment activities. The team also oversees implementation and execution of capital markets activities to support IBRD and IDA's balance sheet management and provides liquidity calculation and reporting and analysis for rating agencies.

CMIMS - Market Solutions and Structured Finance: This team designs and executes market-based risk management and structured transactions for external and internal clients and provides structuring expertise and advisory services to address development challenges.

CMIFP – Financial Products and Clients Solutions: This team helps clients find solutions for their development financing and risk management needs leveraging IBRD and IDA’s financial products and TRE’s financial expertise and market access. It provides support for IBRD and IDA operations and clients on the full menu of financial and risk management products, pricing and loan customization, blending and co-financing, IDA to IBRD transition, and thematic bond issuance strategies and reporting, among other areas.

ETC will be a member of CMIDO Team with roles and responsibilities outlined below:

Duties and Accountabilities:

• Design, develop, and implement quantitative financial models and tools for the valuation of structured fixed income products, and exotic derivative instruments for the Bank’s funding portfolio. Including but not limited to interest rate and FX option embedded structures with complex cashflows, multi-asset class linked instrument (equities, commodities, inflation, emerging markets currencies).

• Research, design, develop, and verify models for highly customized OTC non-financial index linked structures, and insurance-like instruments linked to weather, catastrophe, carbon, and longevity variables.

• Work with traders to analyze newly proposed transactions. Determine and document model, and market data requirements, and prepare required risk analyses and documentation to request approval.

• Engage, and collaborate with various internal units (Model validation, risk department and Operations) to secure new transaction approval, and address any issues with respect to valuation, collateral, and risk.

• Perform and deliver timely monthly valuations for complex liability transactions portfolio, and work with the model validators to resolve any valuation issues related to financial reporting. Participate in discussion with internal, and external auditors, and act as subject matter expert with respect to valuation models.

• Participate in cross-unit projects aimed at improving the valuation, and risk infrastructure of the Treasury. Represent CMI’s view, and priorities in internal discussions, communicate with external software vendors and service providers. Contribute to the software development and implementation including business requirements, project planning and user acceptance testing.

• Perform ad hoc quantitative analyses as request by senior management to support the Capital Markets business line, and Treasury strategic initiatives.

• Provide quantitative, and analytical support to respond to client’s enquiries related to Capital Markets, and risk management products.

Selection Criteria

• Advanced degree preferably in finance, mathematics, physics or engineering and 5 years of relevant work experience in finance and investments (with focus on risk management, financial modeling or quantitative research).

• Professional Certification in CFA, FRM, or PRM is a plus.

• Proven quantitative and qualitative analytical skills in the area of valuing/pricing of complex structures; including in depth knowledge of econometric and financial modeling techniques, multi-factor Monte Carlo simulation techniques and option pricing methodologies.

• Strong theoretical and practical experience with derivative instruments.

• Experience with capital markets, market conventions, and market data manipulations.

• Hands-on experience with Numerix platforms is highly desirable.

• Familiarity with derivatives financial accounting standards (FAS133, FAS157, etc).

• Working experience with one or more of the following programming languages: VBA, Matlab, C and C++.

• Original thinking and quick learning abilities with strong initiative and drive.

• Highest ethical standards.

Competencies

• Technical expertise: Broad and deep understanding of financial markets and financial instruments.

• Communication: Able to communicate in a constructive, concise, and professional manner. Able to contribute to unit's knowledge sharing.

• Innovation: Applies critical thinking to current approaches, identifies areas for improvement, and tries new solutions that drive results. Considers own behavior in context of WBG's values and mission and recognizes impact one has on others. Operates in ambiguity and changing needs and supports others to do the same.

• Sound judgment: Able to access situation and make sound judgment on action needed.

• Teamwork: Keeps others fully informed to ensure integration and work consistency and displays a sense of mutuality and respect. Approaches conflicts as common problems to be solved. Seeks and listens to input from others to inform own decision making and openly shares information. Frames thinking/actions with a WBG corporate perspective in mind.

• Drive for Results: Sets challenging goals that align with the WBG mission and is always looking to improve. Understands clients' most pressing challenges and contributes to solutions. Takes personal responsibility for producing high quality work, identifying and informing of risks, and delivering results for clients.

• Advanced degree preferably in finance, mathematics, physics or engineering and 5 years of relevant work experience in finance and investments (with focus on risk management, financial modeling or quantitative research).

• Professional Certification in CFA, FRM, or PRM is a plus.

• Proven quantitative and qualitative analytical skills in the area of valuing/pricing of complex structures; including in depth knowledge of econometric and financial modeling techniques, multi-factor Monte Carlo simulation techniques and option pricing methodologies.

• Strong theoretical and practical experience with derivative instruments.

• Experience with capital markets, market conventions, and market data manipulations.

• Hands-on experience with Numerix platforms is highly desirable.

• Familiarity with derivatives financial accounting standards (FAS133, FAS157, etc).

• Working experience with one or more of the following programming languages: VBA, Matlab, C and C++.

• Original thinking and quick learning abilities with strong initiative and drive.

• Highest ethical standards.

Competencies

• Technical expertise: Broad and deep understanding of financial markets and financial instruments.

• Communication: Able to communicate in a constructive, concise, and professional manner. Able to contribute to unit's knowledge sharing.

• Innovation: Applies critical thinking to current approaches, identifies areas for improvement, and tries new solutions that drive results. Considers own behavior in context of WBG's values and mission and recognizes impact one has on others. Operates in ambiguity and changing needs and supports others to do the same.

• Sound judgment: Able to access situation and make sound judgment on action needed.

• Teamwork: Keeps others fully informed to ensure integration and work consistency and displays a sense of mutuality and respect. Approaches conflicts as common problems to be solved. Seeks and listens to input from others to inform own decision making and openly shares information. Frames thinking/actions with a WBG corporate perspective in mind.

• Drive for Results: Sets challenging goals that align with the WBG mission and is always looking to improve. Understands clients' most pressing challenges and contributes to solutions. Takes personal responsibility for producing high quality work, identifying and informing of risks, and delivering results for clients.

World Bank Group Core Competencies

We are proud to be an equal opportunity and inclusive employer with a dedicated and committed workforce, and do not discriminate based on gender, gender identity, religion, race, ethnicity, sexual orientation, or disability.

Learn more about working at the World Bank and IFC, including our values and inspiring stories.

Note: The selected candidate will be offered a one-year appointment, renewable for an additional one year, at the discretion of the World Bank Group, and subject to a lifetime maximum ET Appointment of two years. If an ET appointment ends before a full year, it is considered as a full year toward the lifetime maximum. Former and current ET staff who have completed all or any portion of their second-year ET appointment are not eligible for future ET appointments.

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Added 1 year ago - Updated 1 year ago - Source: worldbank.org