Division Manager - Market and Sovereign Risk at African Development Bank - AfDB

Position Number: 50092368
Location: Abidjan, Cote d'Ivoire
Position Grade: PL2

The Complex

• 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 African Development Bank and the African Development Fund.
• The President supervises several Departments and Units including Office of the President; Independent Development Evaluation Department; Integrity and Anti-Corruption Department; Compliance Review and Mediation Unit; Secretariat to the Sanctions Appeals Board; Administrative Tribunal; Office of the Auditor General; Group Risk Management Function; General Counsel and Legal Services Department; Communication and External Relations Department; Staff Integrity and Ethics Office and Office of the Secretary General & General Secretariat.

The Hiring Department

• The Risk Management Function (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 the Bank’s risk management policies and guidelines, including those initiated and developed by other departments.
• The Department’s main mandate is to safeguard the Bank’s financial integrity and consolidate all core risk management activities of the Bank 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 Position
The Division Manager – Market and Sovereign Risk has a broader mandate of Risk Management Function, including:

• Independently monitor and report on the management of the Bank Group exposure to market, credit counterpart and liquidity risks associated with the Bank Group's capital mobilization, borrowing, lending, and investment activities.
• Formulate related policies and guidelines, review all Asset Liability Management Committee (ALCO) reports, and provide guidance on exceptions to any limits.
• Participate in the Asset and Liability Management Committee, alongside the GCRO, and its working groups as well as both the Staff Retirement Plan Committee and the Medical Benefit Plan Board.
• Develop policies and guidelines, methodologies and systems relating to country risk assessment and management for the Bank.
• Develop and update the Bank’s capital adequacy framework (models and risk parameters) and monitor the Bank’s capital metrics through quarterly reporting to the Senior Management and the Board.
• Brief and advise the Group Chief Risk Officer on all matters relating to market, liquidity risk and sovereign risk management.
• Contribute to the development of strategic risk metrics and a risk culture within the organization through the following:
  • Proactive management of Market risks and the risk profile of the Bank’s sovereign portfolio to protect the Bank’s AAA credit rating and reputation;
  • Strengthen the Bank’s internal risk framework by improving risk management processes. The primary focus also includes the identification, monitoring and reporting of any major market and liquidity risk the Bank Group is exposed to.

Key Functions
Under the overall supervision and guidance of the Group Chief Risk Officer (GCRO), the Division Manager performs the following:

• Portfolio Risk Analytics and Capital Management: Perform quantitative analysis of the Bank’s portfolios to support the Second line of Defense oversight and monitoring of credit and market risks, including risk modelling and reporting. Particularly, the Division Manager has the responsibility of:
• Risk Modeling, including
• Oversighting the implementation of robust quantitative risk models to measure, monitor and manage credit risk, market risk and sovereign risk consistent with best practices and the Bank’s Model Risk Management guidelines.
• Leading the calibration of the Bank’s risk parameters: modelling probability of default and loss given default, calculating risk parameters used as input to compute expected losses of the portfolio, reviewing expected credit losses figures prepared by the Financial Control Department (FIFC) and performing in-depth ad hoc analyses to measure and monitor the portfolio’s risk.
• Participating in the development and upgrading of risk identification and assessment methodologies, including monitoring and management tools and systems.
• Providing risk data to rating agencies on regular basis.
• Leading the preparation of the Bank’s rating review meetings with rating agencies.
• Assisting with the periodic validation of risk rating model; and
• Participating in the Global Emerging Market consortium activities by providing the Bank’s data contribution to the consortium.
• Reviewing any Market Surveillance reports alerting the GCRO on any potential market shock impacting the Bank Group‘s activities.
• Capital Management, including
• Leading the preparing the Bank’s Capital Adequacy and Risk Management report.
• Leading the regular review of the Bank’s Capital Adequacy Framework and Risk Appetite Statement.
• Participating in the impact assessment exercise of new lending interventions on the Bank’s prudential ratios and the exposure limits of countries.
• Monitoring the concentration risk in the Bank’s regions and participating in different working groups on the optimization of the Bank’s balance sheet.
• Monitoring rating agencies’ capital adequacy ratios.
• Market Risk Analysis, including
• Participating in the formulation of all related policies and guidelines and reviewing all Treasury reports.
• Reviewing the preparation of the Treasury Operations VaR report to monitor market and credit risks on investment portfolio
• Providing guidance on exceptions to any limits, and advising Management on appropriate risk capital requirements; and
• Participating in the sign-off on finance risk management reports, anticipating and preventing (where possible) any major external shocks to the investment portfolio by designing stress scenarios, as well as providing analytical support to the technical working groups under the Asset and Liability Management Committee (ALCO).
• Sovereign Risk Management: Lead and coordinate the execution of sovereign risk management activities and related tasks by:
• Vetting rating recommendations, on Regional Member Countries (RMCs) and non-Regional Member Countries the Bank is exposed to via sovereign Balance Sheet Optimization (BSO) initiatives, for approval by the Credit Risk Committee (CRC) during the Annual Country Risk Rating Exercise and during off-cycle rating reviews. 
• Leading the development of country limit methodology and presenting results of Annual Country Planning Caps updates to the Credit Risk Committee (CRC) for clearance and subsequently to the Operations teams to guide the Bank’s lending activities within RMCs.
• Reviewing and presenting the Quarterly Sovereign Portfolio Risk report and associated sovereign risk and exposure management recommendations to the Operations teams and CRC for clearance.
• Assisting the preparation of PGRF credit notes for all projects with ADB sovereign financing which are presented to the CRC for clearance.
• Engaging with the Operations teams (Front Office, Regional Directorates, Country Managers, Country Economists, Country Program Officers, and Task Managers) to provide risk-related guidance on the Bank’s lending program, address sovereign risk and exposure management queries and provide clarification on lending limits and eligibility for ADB public financing.
• Leading the preparation of the sovereign risk components of the Annual Portfolio Review Report and Capital Adequacy Reports for the CRC and to the Board of Executive Directors.
• Reviewing Special Country Risk notes or credit memos for the Board, to provide sovereign risk guidance to the Board on selected existing or proposed significant sovereign exposures of the Bank and to address topical issues relating to sovereign risk.
• Participating in the development of sovereign stress scenarios to provide risk-based guidance to the Board and the CRC on the impact of proposed ADB lending programs.
• Collaborating with the Strategy and Operational Policies department (SNSP) in conducting comprehensive risk assessments of African Development Fund (ADF) countries seeking exceptional access to ADB sovereign financing or for their graduation to blend/full ADB category.
• Represent the CRO on internal and external committees, including:
• Attending all ALCO working groups.
• Participating in the monthly ALCO meeting along with the GCRO.
• Participating in the MDB Annual Market Risk & ALM forum.
• Participating to any missions organized and proposed by other departments in relation to market & sovereign risk assessment.
• Acting as a member of the SRP investment committee.
• Collaboration with other complexes and departments on subjects relating to Market & Sovereign risk (Policy, Monitoring and Reporting).
• Oversight Role: Manages and supervises the staff of the Division by:
• Planning, organizing, and coordinating the activities of the Division.
• Setting the overall objectives and leading the development of the work programme.
• Overseeing the execution of the work program and ensuring that deadlines are met.
• Reviewing and recommending changes to the work program.
• Reviewing and monitoring the timely completion of tasks assigned to staff.
• Determining training needs and leading the development of credit risk capacity building programs.
• Providing coaching, mentoring and conflict resolution.
• Evaluating staff performance and ensuring the achievement of departmental objectives; and
• Ensuring the technical competency, professionalism, and high ethical standards for all staff members.

Competencies (Skills, Experience and Knowledge)

• Hold at least a Master's Degree in Risk Management, Engineering, Mathematics, International Banking, Economics or other related disciplines.
• Have a minimum of 8 years work experience of which 4 years have been spent in private sector banking or multilateral development banking.
• Good knowledge of credit risk management, analysis, deal structuring and negotiation.
• Hands-on experience of credit risk assessment, deal negotiation and structuring in emerging and underdeveloped markets.
• Hands-on experience of risk parameters modelling with good knowledge of rating agencies’ MDBs rating methodologies and frameworks.
• H igh degree of personal commitment, interpersonal skills with clear strategic vision and proven communication, leadership, management, and supervisory skill
• 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: Provides clear and concise oral and written communication; presents 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.
• Problem-solving and decision-making skills, with the ability to analyze complex information and drive resolution.
• Considerable knowledge and experience of best practice risk management.
• 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 Microsoft Office Suite applications (Word, Excel, Access and Power Point); knowledge of SAP (or other integrated document management system or quantitative and qualitative data analysis packages is an added advantage