Principal Quantitative Risk Officer, PGRF3 at African Development Bank - AfDB
Posted on: 13 December, 2019
Deadline: 11 January, 2020
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African Development Bank Group (AfDB) - Established in 1964, the African Development Bank is the premier pan-African development institution, promoting economic growth and social progress across the continent. There are 80 member states, including 54 in Africa (Regional Member Countries). The Bank’s development agenda is delivering the financial and technical support for transformative projects that will significantly reduce poverty through inclusive and sustainable economic growth.
Principal Quantitative Risk Officer, PGRF3
Reference: ADB / 19 / 243
Location: Abidjan, Cote d'Ivoire
Position N°: 50000848
- The President, plans, supervises and manages the business of the Bank Group. Under the direction of the Boards of Directors, the President conducts the business of the Bank and the African Development Fund and manages operations and activities in accordance with the Agreements establishing the ADB and the ADF.
- The President supervises several Departments and Units including Office of the President (PRST0); Independent Development Evaluation Department (BDEV); Integrity and Anti-Corruption Department (PIAC); Compliance Review and Mediation Unit (BCRM); Secretariat to the Sanctions Appeals Board (BSAB); Administrative Tribunal (BATR); Office of the Auditor General (PAGL); Group Risk Management Directorate (PGRF); General Counsel and Legal Services Department (PGCL); Communication and External Relations Department (PCER); Staff Integrity and Ethics Office (PETH) and Office of the Secretary General & General Secretariat(PSEG).
The Hiring Department
- The Risk Management Department (PGRF) develops policies and guidelines, methodologies and systems relating to credit risk assessment, market risk and operational risk, and as well as ensures internal consistency of all of the Bank’s risk management policies and guidelines, including those initiated and developed by other departments.
- The department main mandate is to safeguard the Bank’s financial integrity, consolidate all core-risk management activities of the Bank in order to exercise comprehensive oversight over the Bank’s risk exposure. In delivering its mission, PGRF focuses largely on promoting the Bank Group’s strategic goals within a defined risk tolerance framework.
- The overall purpose of Principal Quantitative Risk Officer is to identify and monitor credit and market risks, review and ensure the integrity of quantitative risk models, determine the Bank’s economic and capital adequacy, and the reasonableness of their assumptions.
- The selected candidate should ensure compliance with the Bank’s risk management guidelines, capital adequacy policy, International Financial Reporting Standards 9 requirements, and formulate, review and update credit and market risk policies, guidelines and procedures.
Duties and Responsibilities
Under the supervision of the Division Manager, the responsibilities of the Principal Quantitative Risk Officer are:
- Lead the development, enhancement and maintenance of the quantitative risk analytics and models (market, counterparty, ALM and credit risks), methodologies and frameworks. Such projects may for example include the design and implementation of quantitative tools in areas such as ALM strategy, Market and Credit VaR, and Stress Testing;
- Responsible for the identification, measurement, analysis, monitoring and mitigation of the credit, counterparty, market and liquidity risks borne by the Bank’s treasury and lending activities;
- Provide analytical advice on the structuring, pricing and exposure measurement for the Bank’s banking and treasury portfolios, ALM and hedging;
- Conduct the implementation, validation and back testing of quantitative risk models;
- Review, report and ensure compliance of the Bank with its capital adequacy framework and accounting standards such as International Financial Reporting Standards;
- Assess and advise on the impact of proposed changes in Bank-wide policies on risk management methodologies, systems and practices;
- Represent risk management at internal committees, cross-departmental working groups, external rating agency presentations, internal and external auditors’ meetings, new atransactions and legal documentation discussions with the counterparties;
- Oversee risk methodologies and documentation and obtain approval from internal and external auditors;
- Holds at least Master's degree in Financial Engineering or equivalent in Quantitative Finance, Risk Management, Applied Finance.
- Have a minimum of six (06) years of relevant experience in a financial institution or in a consulting role, with at least 3 years in an ALM, market/credit risk management or a related role in financial risk management. Experience with an MDB with emphasis on quantitative risk is an advantage.
- In-depth knowledge of market/credit risk management techniques, capital adequacy requirements, International Financial Reporting Standards, quantitative financial and risk modelling tools and methods of fixed income securities (yield curve modelling, bond and derivative pricing, VaR, ES, Monte Carlo Simulations, sensitivity measures) are required.
- Hands-on experience in financial model design and implementation (e.g. design and implementation of risk applications) is required, or experience in the preparation of ALM, market/credit risks, economic capital and adequacy policies and / or reports for a MDB or a financial institution.
- Excellent problem-solving skills and good project management skills.
- Teamwork and relationships: Works with others to maximize the effectiveness of the team as a whole, sharing the knowledge and workload. Develops strong working relationships with colleagues and contributes to creation of a positive team environment.
- Problem solving: Applies business knowledge to the resolution of problems and identifies solutions to the benefit of the client (internal and external) and the organization.
- Operational effectiveness: Uses efficiently the systems, procedures and culture within the organization in order to deliver the required results.
- Innovation and creativity: Active search for and produce innovative and creative approaches to activities in order to enhance performance and create added benefits to the Bank and its clients
- Ability to communicate effectively (written and oral) in English or French preferably with a working knowledge of the other.
- Competence in the use of standard MS office applications (Word, Excel, Access, and PowerPoint). Knowledge of SAS, SUMMIT and Numerix is advantageous.
Method of Application
- To apply for this position, you need to be national of one of AfDB member countries.
- Applicants who fully meet the Bank's requirements and are considered for interview will be contacted. Only online applications submitted with a comprehensive Curriculum Vitae (CV) and copies of the required degrees will be considered. The President, AfDB, reserves the right to appoint a candidate at a lower level. The African Development Bank is an equal opportunities employer. Female candidates are strongly encouraged to apply.
- The African Development Bank Group (AfDB) does not ask for payments of any kind from applicants throughout the recruitment process (job application, CV review, interview meeting, and final processing of applications). In addition, the Bank does not request information on applicants’ bank accounts. The African Development Bank Group declines all responsibility for the fraudulent publications of job offers in its name or, in general, for the fraudulent use of its name in any way whatsoever.
Interested and qualified? Go to African Development Bank - AfDB career website on www.afdb.org to apply