Associate Risk Officer- Credit & Counterparty Risk

The Associate Risk Officer supports counterparty and credit risk management focusing on derivatives exposure monitoring and quantitative risk analytics. The role involves monitoring derivatives exposures, implementing Basel counterparty credit risk standards, and assessing new products and structured transactions.

Responsibilities

• Contribute to the day-to-day monitoring, analysis, and reporting of counterparty credit risk exposures and limit utilization, including PFE, EE, EAD, pre-trade impact assessments, and portfolio-level exposure analysis across derivative counterparties.
• Maintain and analyze the inventory of ISDA Master Agreements, Credit Support Annexes (CSAs), collateral arrangements, and key contractual terms; perform comparative analysis and support resolution of counterparty credit issues in collaboration with Legal and business teams.
• Review how PFE and related exposure measures behave under market movements to confirm they support effective monitoring of IFC counterparty credit limits.
• Review the set-up of credit limits and the migration of the IFC portfolio from Numerix to Murex for completeness and accuracy, providing credit risk sign-off ahead of PFE production use.
• Monitor and assess Basel capital standards relevant to counterparty credit risk and support their incorporation into risk measurement, limit-setting, and governance practices.
• Develop, automate, and enhance covered bond, securitized asset reporting, dashboards, including application of advanced analytics and AI-enabled monitoring to improve risk surveillance for securitized assets.
• 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.
• 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.
• Prepare and contribute to risk assessments, presentations, briefing materials, and memoranda for senior management and governance committees.
• 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.
• 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 risk drivers, indicators and thresholds, and hand over completed tools to relevant teams for routine operation.

Requirements

• Master's degree in Finance, Economics, Statistics, Mathematics, Financial Engineering, or a related quantitative discipline.
• 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.
• Understanding of counterparty exposure and valuation concepts, including PFE, EE, EAD, CVA, FVA, KVA, collateral, netting, and the drivers of exposure profiles.
• Strong programming skills in Python, R, MATLAB, or SQL.
• Strong written and verbal communication skills, with the ability to translate complex quantitative analysis into clear recommendations for both technical and non-technical audiences.
• Ability to work independently and across teams including 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 is highly desirable.
• 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.

Skills

• Derivatives Valuation
• Counterparty Risk Management
• Credit Risk Modeling
• Quantitative Risk Assessment
• Python Programming
• R Programming
• Matlab Programming
• SQL Programming
• Counterparty Exposure Analysis
• Basel Counterparty Credit Risk
• SA-CCR
• CVA Capital Standards
• Leverage-Ratio Exposure Measurement
• Collateral Management
• Netting
• Risk Model Validation
• Risk Systems Implementation
• Market Data Platforms
• Murex
• Numerix
• Bloomberg
• Automated Reporting Tools
• Dashboard Development
• Early Warning Indicators
• AI-Enabled Risk Monitoring

Languages

English