LIBOR Transition Quantitative Consultant ALM

Technical Support
2000000943 Requisition #

LIBOR Transition Quantitative Consultant ALM


Background of this search: The Treasury Division is looking for a dedicated, energetic and team-oriented professional to fill a consultant position in our Asset Liability Management Team (ALM). This role will provide quantitative support in the building of a strategy and the execution of the bank’s LIBOR Transition Program (LTP) which is responsible for transitioning the bank’s balance sheet from LIBOR to alternative reference rates. The consultant will also perform market risk analyses and generate reports in the QRM system to support this work. The role requires a strong background in market risk concepts and proficiency with the Quantitative Risk Management system.


The Team’s mission: The Libor Working Group is responsible for assessing the impact and implications of transitioning the bank’s balance sheet from LIBOR to alternative reference rates. A multifaceted strategy has been put together to address the following areas (i.) Internal awareness; (ii.) Impact assessment and project structuring; (iii.) Financial Contracts (Fixed Income, Swaps and Loans) (iv.) Communications (shareholder and country engagement) (v.) Funding and Investment strategy; (vi.) SG and NSG Loans transition; (viii.) Balance Sheet Management and (ix.) Bank Systems and Infrastructure.


What you’ll do:

  • In coordination with the stakeholders in treasury and risk, support the transition of the IDB pricing and valuation from IBOR rates to the new reference rates.
  • Using available data dashboards and market risk analysis, help develop strategies to migrate Libor exposure to the new benchmark.  This will be in coordination with treasury and risk to ensure compliance with mandate and limits and subject to market liquidity. Support the set-up and testing of the new ALM book in the Treasury Management System (TMS) to ensure that it provides the functionality to transfer exposure within internal books and the ability to book conversion trades form Libor to the new benchmark.
  • Implement new/refine existing Interest Rate Risk reports using QRM, including AEaR, EVE, Basis Risk, Repricing Gaps, etc.
  • Support the bulk conversion of LIBOR‐based loans and derivative transactions to the new rates in timely and orderly fashion in Summit.
  • Stay informed of latest developments on the LIBOR transition by regulators, industry experts, and national working groups (e.g. ARRC).
  • Support any activities related to the LIBOR Transition Program depending on current priorities.
  • Strong understanding of market risk concepts and experience in interest rate risk management


What you’ll need:

Citizenship: You are a citizen of one of our 48-member countries. We may offer assistance with relocation and visa applications for you and your eligible dependents.

Consanguinity: You have no family members (up to fourth degree of consanguinity and second degree of affinity, including spouse) working at the IDB Group.

Education: Master's degree or equivalent in Engineering, Business Administration, Finance, or related disciplines. Phd is a plus.

Experience: 10 years or more experience in modelling of financial products, risk management, fixed income.

Languages: Fluent in English and Spanish

Core and technical competencies:
  • At least five years of experience in derivatives and market risk analysis including the management of QRM processing and stochastic analysis. Knowledge of financial and accounting concepts  and proficiency in computer applications.
  • Strong analytical and quantitative skills with an academic background in engineering, math or finance.
  • Ability to communicating effectively, both written and verbally, within a professional services business environment.
  • Strong analytical, problem-solving and project management skills are required.

Opportunity Summary: 

Type of contract: CNS

Length of contract: 24 months

Starting date: February 2021

Location: Headquarters, Washington DC

Responsible persons: Treasury & Risk Principal Specialist - Head ALM.

Requirements: You must be a citizen of one of the IDB’s 48 member countries and have no family members currently working at the IDB Group.  


Our culture: Our people are committed and passionate about improving lives in Latin-America and the Caribbean, and they get to do what they love in a diverse, collaborative and stimulating work environment. We are the first Latin American and Caribbean development institution to be awarded the EDGE certification, recognizing our strong commitment to gender equality. As an employee you can be part of internal resource groups that connect our diverse community around common interests.


Because we are committed to providing equal opportunities in employment, we embrace all diversity and encourage women, LGBTQ+, persons with disabilities, afro-descendants, and indigenous people to apply.

About us: At the IDB, we’re committed to improving lives. Since 1959, we’ve been a leading source of long-term financing for economic, social, and institutional development in Latin America and the Caribbean. We do more than lending though. We partner with our 48-member countries to provide Latin America and the Caribbean with cutting-edge research about relevant development issues, policy advice to inform their decisions, and technical assistance to improve on the planning and execution of projects. For this, we need people who not only have the right skills, but also are passionate about improving lives.


Our team in Human Resources carefully reviews all applications.


“Due to the current COVID-19 pandemic and its implications for our Region, the IDB Group is reviewing its hiring needs and re-prioritizing its areas of talent acquisition. We encourage candidates to continue to apply to the active postings, yet current job openings may be subject to further decisions in terms of timing of the processes, or other actions, in accordance with business needs. Final hiring decisions may also be conditioned to the candidate’s ability to timely relocate to the post of duty at the moment of starting service.”


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