Chief Quantitative Risk Officer at African Development Bank - AfDB

The Position

• The overall purpose of the Chief Quantitative Risk Officer is to identify and monitor the credit risk and ensure the integrity of financial risk models and the reasonableness of assumptions used.
• The job holder ensures compliance with the capital adequacy policy and International Financial Reporting Standards requirements, optimizes the region lending program regarding the concentration risk and formulates, reviews and updates policies, guidelines and procedures relating to the credit risk management and capital adequacy.

Key Functions
Under the supervision and guidance of the Market & Sovereign Risk, Division Manager (PGRF.3), the Chief Quantitative Risk Officer will:

• Lead the development and updating of policies and guidelines, including procedures and processes relating to the bank’s capital adequacy.
• Lead the calibration of the Bank’s risk parameters: Model Probabilities of Default, Loss Given Defaults, calculate expected losses of the portfolio, and perform correlation analysis.
• Lead review, reports, and ensures compliance of the Bank with the Capital Adequacy framework and accounting rules (i.e., International Financial Reporting Standards 9).
• Lead the periodic validation of risk rating models.
• Lead the development and upgrading of risk identification and assessment methodologies, including appropriate assessment, monitoring, and management tools and systems.
• Manage prudential limits and concentration risk and ensure compliance with risk appetite limits.
• Lead the analysis of the lending scenario and assess the impact on the Bank’s prudential ratios as well as on the countries’ exposure limits.
• Lead data analysis and stress testing results.
• Lead the region country working groups and advise on the lending headroom.
• Participate in the sovereign and non-sovereign credit risk assessment.
• Monitor and participate in the different working groups on the optimization of the Bank’s balance sheet (e.g., Exposure Exchange Agreement).
• Discuss issues pertaining to the Bank’s ratings with rating agencies.
• Participate in the Global Emerging Market consortium.
• Maintain a close relationship with key partners, including the Bretton Woods Institutions, to review the Bank Group's credit management policies and guidelines.

Competencies (Skills, Experience, and Knowledge)

• Holds a Master’s Degree in Risk Management, Financial Engineering, Quantitative Finance, Applied Finance, or a related field.
• A minimum of seven (7) years of relevant experience related to financial modeling. Strong knowledge of credit risk models as well as capital adequacy standards and International Financial Reporting Standards is required as well as strong quantitative and analytical skills. Experience with an Multi Development Bank (MDB) with an emphasis on quantitative risk is an advantage.
• Very Strong knowledge of credit risk models, Capital Adequacy requirements, balance sheet optimization transactions, and rating agencies models
• 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
• Communication: Provide clear and concise oral and written communication; present oral information with clarity and appropriate style and adapts language and style to suit the requirements of a particular audience.
• Operational effectiveness: The Commitment to ensure that full use is made of the systems, procedures, and culture within the organization in order to deliver the required results
• Innovation & Creativity: The commitment to 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.
• Teamwork & Relationships: Work with others to maximize the effectiveness of the team as a whole, and share the knowledge and workload. Develop strong working relationships with colleagues and contribute to the creation of a positive team environment
• Good knowledge of credit risk management techniques and sophisticated risk mitigation products;
• High-level professional knowledge of qualitative and quantitative credit portfolio management techniques, structured credit instruments, and credit risk derivatives.
• Ability to communicate effectively (written and oral) in English and French, preferably with a working knowledge of the other. Fluency in the national language(s) of the Region may be an added advantage depending on the Region.
• Competence in the use of standard Microsoft Office Suite applications. Knowledge of SAP is an asset.