Senior Treasury Risk Officer at African Development Bank - AfDB

Reference: ADB/19/118
Location: Côte d’Ivoire
Grade: PL5
Position N°: 50050077

The Complex
The Vice-Presidency for Finance oversees the financial management of the Bank Group. This encompasses the Bank Group’s treasury activities including borrowings from the capital markets and investment activities; controllership functions including financial reporting and loan administration; strategic resource mobilization and the strengthening of the non-statutory financial resources and instruments; the overall asset/liability management for the Bank Group.

The Hiring Department/Division

• The overall objective of the Financial Management Department is to safeguard and improve the Bank Group’s risk bearing capacity while looking to optimize efficiency to benefit clients, shareholders and staff.
• The role of the Treasury Risk Management Division is the management and reporting of treasury risk and the oversight of treasury activities that enable the Bank to make informed and profitable investment and borrowing decisions thereby preserving capital, optimizing profitability and maintaining a strong credit rating. The Division’s objectives are to:
• Identify, measure, monitor and mitigate market and credit risks in the Bank’s Treasury operations;
• Ensure the timely reporting of the Treasury Department’s borrowing and investment activities;
• Build an efficient control framework to ensure the adherence to the Bank’s policies, Assets and Liabilities Management (ALM) guidelines and to International Financial Reporting Standards (IFRS);
• Provide efficient information systems and analytical support tools to the Treasury Department to improve the decision-making process.

The Position

• Under the supervision of the Division Manager, the Senior Treasury Risk Officer is responsible for compliance monitoring and risk reporting of treasury activities, market and counterparty credit risk exposures and  the provision of related treasury risk expertise in support of the overall risk management activities if the Bank Group.

Duties and responsibilities
The Senior Treasury Risk Officer will:

Report on the market and counterparty credit risk exposure related to the Bank Group’s Treasury activities

• Verify market and credit database integrity by doing recurrent checks with financial data providers. That includes all market data necessary for portfolios valuation, counterparties credit profile data and the authorized counterparty list: depository, banks, brokers, International Swaps and Derivatives Association (ISDA) and International Securities Market Association (ISMA) Agreements...);
• Collect very complex information and process it ready for decision-making
• Review the quality and accuracy of daily and weekly reports produced by Treasury Risk Assistants;
• Analyse complex or recurrent issues on fair valuations and Profits and Losses (P&L) calculations on Treasury Portfolios, including Investment, Borrowing and Derivatives transactions of the Bank Group;
• Ensure the timely production of treasury activities and risk reports for Treasury Department, Management, the Financial Control Department (FIFC) and the Asset and Liability Management Committee (ALCO);
• Keep abreast of developments on International Financial Reporting Standards (IFRS) and their impacts on reporting in financial statements;
• Provide necessary input on treasury activities and risks to internal and external auditors.

Monitor the compliance of treasury transactions:

• Verify the compliance monitoring with Asset and Liability Management guidelines for all new transactions entered into by the Treasury Department and provide support to treasury risk assistants when needed;
• Discuss the compliance of valuation source for illiquid and moderately liquid transactions or securities with Treasury Front Office Officers;
• Maintain approved lists of ISDA, ISMA, depository banks, brokers and futures counterparties.
• Verify the matching of financial terms between bond issues and associated derivative transactions to reduce market risk;
• Verify the documentation and confirmations provided by counterparties for liability transactions to reduce operational risk.

Ensure an efficient control and risk management framework on treasury capital market activities and contribute to its improvement:

• Identify recurrent reporting, transactions processing or risk calculations issues, specify business requirements and implement necessary improvements or liaise with Treasury Risk Information Technology specialists;
• Participate in the design and implementation of decision support tools that improve the efficiency of treasury investment and liability activities and related risk management;
• Monitor the day to day use of the Treasury pricing systems and the integrity of market and trade data;
• Maintain evolving treasury systems data requirement, participate as a business/functional expert to the migrations to new versions;
• Review and maintain up-to-date Treasury Risk Management operational procedures, propose new controls and optimized processes to reduce operational risk;
• Participate to the negotiation and review of clauses in ISDA/CSA and GMRA agreements to ensure an adequate legal framework for treasury operations;
• Contribute to the implementation of treasury risk measures or activity dashboards needed to be in line with industry standards, best practices, audit and rating agencies requirements.

Provide support to Treasury Front Office and Back Office Divisions for transaction and risk analysis:

• Investigate persistent issues on payments, debt service and valuation. Provide timely feedbacks to Back-Office;
• Reconcile the valuation of trades with counterparties for an efficient collateral management process which reduces the Bank’s credit exposure;
• Train Front Office staff on the use of pricing systems in order to evaluate funding proposals received by counterparties;
• Review the terms of new funding proposals received by counterparties. Ensure that the Bank has the internal capacity to fair value new borrowing transactions proposed by counterparties;
• Contribute to the confirmation of offering memorandums, pricing supplements and swap agreements for Treasury activities.

Perform other duties as assigned by immediate supervisor

Selection Criteria
Including desirable skills, knowledge and experience:

• Hold at least a Master's degree or its equivalent in Business Administration, Finance, Banking.
• Professional certification in Risk and/or Finance such as Financial Risk Manager (FRM), Professional Risk Manager (PRM), Chartered Financial Analyst (CFA) or Certificate in Quantitative Finance (CQF) will be an advantage.
• Have a minimum of five (5) years of relevant professional experience in International Financial Institutions or Investment Banks, with a large scope of treasury or fixed income activities. Working experience in Fixed Income and Derivatives front-office, middle-office or risk management departments will be an advantage.
• Communication; Client orientation; Team working and relationships; Operational effectiveness.
• Solid quantitative background, extensive analytical skills and ability to efficiently solve problems independently and proactively
• Ability to cope under pressure with strong planning and organization skills.
• Demonstrated knowledge and experience of financial and/or risk reporting.
• Ability to work autonomously as well as part of a multicultural team.
• Well-organized with a proven ability to solve problems independently with a strong sense of personal ownership and a focus on timelines and delivering results
• Experience in using Summit, Bloomberg, Reuters, Numerix or MSCI Credit Manager software, as well as a knowledge programming or database languages like Excel VBA, SQL, R, Python or C++ would be an advantage.
• Ability to communicate effectively (written and oral) in English or French preferably with a working knowledge of the other language.