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Valuation Officer

Employer
The World Bank Singapore Office
Location
Singapore, Singapore
Salary
S$13k - S$15k
Closing date
May 25, 2024

View more

Job Function
Portfolio Management: Alternatives
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
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 office of the Chief Risk Officer (CRO) is responsible for leading the risk management function for IBRD and IDA, with oversight responsibility for financial and operational risks including policy formulation, measurement, monitoring and reporting. The CRO works closely with other risk units in the Bank Group to address cross-cutting issues, support innovation in a sustainable manner and share best practices. It also fosters collaboration in risk management across other MDBs. CRO plays a key role in capital structure and interaction with rating agencies as well as internal and external auditors and Board communication on risk matters. It consists of Country Credit Risk Department (CROCR), Market and Counterparty Risk Department (CROMC), and Operational Risk Department (CROOR).

The Market & Counterparty Risk Directorate (CROMC) focuses on oversight of risk in four main areas:

1. Market risk, which covers ALM, interest-rate, spread (funding and investments) foreign-exchange risk, and the availability/cost of, or access to, ready liquidity and long-term funding.
2. Counterparty (i.e., no sovereign-lending) Exposure & Liquidity risk, which includes risks to IBRD resulting from changes in creditworthiness of IBRD's commercial/derivative counterparties, and MTM/liquidity risks of the treasury investment portfolios.
3. Model risk, which covers financial-risk (capital, risk, income, etc.) models, across the WBG excluding IFC, in terms of model, risk, and governance.
4. Valuation & Analytics (CROVA), which includes validation and verification of pricing/valuation models & market data, and independent price verification (IPV) of fair-May products.

The Valuation & Analytics group (CROVA) is responsible for several quantitative and financial functions relating to IBRD and IDA (commonly referred as "The World Bank"). These functions includes, but are not limited to, the following:

a) Validation of pricing model, curve construction and market data used to value financial instruments of The World Bank (WB)
b) Pricing model verification and enhancement of the implementation of the models, curve construction and market data deployed at the World Bank for valuation of financial instruments.
c) Independent price verification and quantitative analytics of the issuance, derivatives, loans and commitments portfolio of The World Bank
d) Review of internal valuation standards and practices to ensure market alignment
e) Generating and monitoring of financial indicators, Greeks, MTM movements attribution and analysis
f) Liaising with multi-stakeholders to support and facilitate innovative and bespoke solutions and financial instruments.
g) Liaising with auditors on aspects related to model valuation and verification, financial markets and impact on WB portfolios and Independent Price Verification

The group is co-located in Singapore and Washington DC (WB Headquarters). The current position is based in Singapore and subject to local hire terms.

Duties/Accountabilities:

CROVA is looking for highly motivated and dynamic individuals for the position of Valuation Officer. The candidates should be experienced Quantitative professional, with expertise in pricing models, market practices, valuation review, and responsible for validating key financial instrument portfolios. The job requires client oriented individuals providing proactive, customized and innovative solutions. A mix of quantitative and finance experience is required.

Specific tasks of the Valuation Officer include:
  • Performs pricing model and market data validation and verification in accordance with governance frameworks. The instruments include (but not limited to) structured/exotic bonds and derivatives, covering fixed income, foreign-exchange, commodity, and equity.
  • Performs MTM movements attribution for different portfolios targeted at market factors such as interest rates, volatilities, and FX.
  • Develops and carries out periodic sensitivity/Greeks analysis and other quantitative/financial analytics.
  • Develop Independent Price Verification models and perform periodic IPV analysis.
  • Support periodic independent model and curve construction reviews review and enhancements for debt, loan, and derivatives portfolios, with extended focus on high-risk models.
  • Stay current with the latest developments in quantitative modelling techniques, identifying opportunities to improve existing models and tools.
  • Works closely with external audit's valuation group as well as other finance partners units.
  • Develops and maintains industry contacts to remain abreast of best practices.
  • Be self-motivated and operates effectively as part of a larger team and actively participate in group's initiatives.
  • Typically responsible for managing simultaneous and multiple high priority projects with a variety of stakeholders.
  • Analyzes and identifies substantive issues and proposes solutions.
  • Understands critical linkages and relationships among clients' business drivers, operations and corporate objectives.

Selection Criteria
  • Applicants should have a minimum 5 years of relevant direct market experience in a major financial institution in Structuring / Trading / Valuation / Active Risk management of interest rate and/or foreign exchange derivatives (and 7 or more years of finance experience preferred).
  • The incumbent is expected to be well versed with the development and application of pricing/valuation models such as Hull-White, Black, Heston, Dupire and Forward Market Model.
  • Ability to readily discern the robustness of varying modeling approaches for given structures and dominant market-practice is required.
  • Past experience with NumeriX®/Murex platforms is preferred.
  • An advanced/professional degree or equivalent training in mathematics, finance, engineering or equivalent with a strong technical and quantitative background
  • Excellent team player with ability to collaborate with colleagues within and across departments and hierarchy.
  • Strong modeling and technical expertise with focus on quality, execution, and meeting deadlines
  • Excellent written and oral communication skills, including the ability to present complex and technical issues in simple terms.
  • Solid understanding and experience with pricing and valuation models and associated techniques across asset classes - interest rates, foreign-exchange and equity
  • Advanced programming skills across different platforms: C++, Python, MATLAB, SQL etc.
  • Excellent interpersonal skills, teamwork, and ability to interact effectively with financial professionals, model developers and users, technical specialists, technology experts, sales/business personnel, and senior managers.
  • Ability to perform multiple tasks and to handle pressure and meet strict deadlines.
  • Solid understanding of industry-wide risk modelling practices and trends.

World Bank Group Core Competencies

The World Bank Group offers comprehensive benefits, including a retirement plan; medical, life and disability insurance; and paid leave, including parental leave, as well as reasonable accommodations for individuals with disabilities.

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.

Note: If the selected candidate is a current World Bank Group Staff Member with a Regular or Open-Ended appointment, they will retain their Regular or Open-Ended appointment. If the selected candidate is a current World Bank Group Staff Member with a Term appointment that expires later than the end date of this appointment, they will retain the duration of their current Term appointment.

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