Associate Risk Officer- Credit & Counterparty Risk

Associate Risk Officer- Credit & Counterparty Risk

Description

• Monitoring and analysis of derivatives exposures
• PFE and XVA analytics
• Implementation of Basel counterparty credit risk and capital standards
• ISDA and CSA analysis
• Providing credit risk sign-off on PFE limit monitoring and the migration of IFC exposures and limits (Numerix to Murex) ahead of PFE production use.
• Quantitative credit risk monitoring for covered bond and securitized asset pools, drawing on structured finance product expertise. 
• Assessment of new products, structured transactions, and local currency funding and hedging proposals

• Exposure Monitoring & Reporting: Contribute to the day-to-day monitoring, analysis, and reporting of counterparty credit risk exposures and limit utilization, including Potential Future Exposure (PFE), Expected Exposure (EE), Exposure at Default (EAD), pre-trade impact assessments, and portfolio-level exposure analysis across derivative counterparties.
• ISDA / CSA Management: Maintain and analyze the inventory of ISDA Master Agreements, Credit Support Annexes (CSAs), collateral arrangements, and key contractual terms; perform comparative analysis and support the resolution of counterparty credit issues in collaboration with Legal and business teams.
• Reviewing how PFE and related exposure measures behave under market movements, to confirm they support effective monitoring of IFC counterparty credit limits.
• Reviewing the set-up of credit limits and the migration of the IFC portfolio from Numerix to Murex for completeness and accuracy, and providing credit risk sign-off ahead of PFE production use.
• Basel Capital Standards: Monitor and assess Basel capital standards relevant to counterparty credit risk — including SA-CCR, CVA capital, and leverage ratio — and support their incorporation into risk measurement, limit-setting, and governance practices.
• Analytics & Automation: Develop, automate, and enhance covered bond, securitized asset, reporting, dashboards, including the application of advanced analytics and AI-enabled monitoring to improve risk surveillance for securitized assets.
• New Product Assessment: Assess counterparty credit risk for new products, structured transactions, and local currency funding and hedging proposals, providing independent quantitative challenge and analytical input to transaction reviews, policy papers, and governance notes.
• XVA & FVA Policy: Support the development and refinement of FVA and broader XVA policies and methodologies, including XVA attribution by trading desk; validation of funding, discount, and CDS curves and volatility assumptions; and analysis of differences between modeled, realized, and expected exposure profiles.
• Senior Management Reporting: Prepare and contribute to risk assessments, presentations, briefing materials, and memoranda for senior management and governance committees.

• Structured Products Analysis: Conduct quantitative analysis and assessment of structured and securitized products (ABS/MBS), including evaluation of risk-return trade-offs, P&L impact, and preparation of analytical materials for management.
• Local Currency Risk Frameworks: Support the development and enhancement of local currency risk frameworks, monitoring tools, early warning indicators, portfolio analytics, and management reporting.
• Develop monitoring criteria for securitization and covered bond pools, using specialist product knowledge to define the risk drivers, indicators and thresholds. Hand over completed tools to the relevant teams for routine operation.

Selection Criteria

• Education: Master's degree in Finance, Economics, Statistics, Mathematics, Financial Engineering, or a related quantitative discipline.
• Experience: At least five years of relevant experience in derivatives valuation, counterparty credit risk, or credit risk modeling or similar fields within an investment bank, multilateral development bank, rating agency, or similar financial institution.
• Derivatives & Counterparty Risk Expertise: understanding of counterparty exposure and valuation concepts, including PFE, EE, EAD, CVA, FVA, KVA, collateral, netting, and the drivers of exposure profiles..
• Quantitative & Analytical Skills:. Strong programming skills in Python, R, MATLAB, or SQL l. Candidates with strong quant skills but limited securitized product experience are encouraged to apply.
• Communication: Strong written and verbal skills, with the ability to translate complex quantitative analysis into clear recommendations for both technical and non-technical audiences.
• Collaboration: Ability to work independently and across teams Risk, Treasury, Legal, Operations, and business units.

• Knowledge of Basel counterparty credit risk and capital standards, including SA-CCR, CVA capital, and leverage-ratio exposure measurement.
• Experience with counterparty risk systems and market data platforms such as Murex, Numerix, Bloomberg,; experience with system implementation, migration, testing, or model validation is a strong plus.
• Experience developing automated reports, dashboards, early warning indicators, or AI-enabled risk-monitoring solutions.
• High level of integrity, sound judgment, and commitment to the WBG's mission.

As the World Bank Group continues to evolve, we value candidates who:

• Demonstrate the ability to collaborate effectively across teams, disciplines, cultures, and institutional boundaries.
• Responsibly leverage digital and AI-enabled tools to enhance productivity, learning, and decision-making.
• Bring experience working in fragile, conflict-affected, and violent (FCV) contexts and are encouraged to highlight relevant experience in their application materials, where applicable.

WBG Culture Attributes:

1. Sense of urgency: Anticipate and quickly respond to the needs of internal and external stakeholders.
2. Thoughtful risk-taking: Challenge the status quo and push boundaries to achieve greater impact.
3. Empowerment and accountability: Empower yourself and others to act and hold each other accountable for results.

World Bank Group Core Competencies

WBG Five Managerial Competencies Include only for managerial positions

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.

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