Principal Quantitative Risk Officer, PGRF3 at African Development Bank - AfDB

Reference: ADB / 19 / 243 / 2
Location: Abidjan, Cote d'Ivoire
Grade: PL4
Position N°: 50000848

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 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 Position

• The overall purpose of Principal Quantitative Risk Officer is to identify and monitor credit 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 risk as well as capital adequacy 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 for credit risks (PD, LGD and EAD models), Economic Capital and Stress Testing..
• Responsible for the identification, measurement, analysis, monitoring and mitigation of the credit and counterparty risks borne by the Bank’s lending activities.
• Provide analytical advice on the structuring, pricing and exposure measurement for the Bank’s lending portfolio.
• Conduct the implementation, validation and backtesting of quantitative risk models.
• Review, report and ensure compliance of the Bank with its capital adequacy framework, Basel Standards, and accounting standards such as International Financial Reporting Standards 9.
• Assess and advise on the impact of proposed changes in Bank-wide policies on risk management methodologies, prudential ratios, systems and practices.
• Represent risk management at internal committees, cross-departmental working groups, external rating agency presentations, internal and external auditors’ meetings, new transactions and legal documentation discussions with the counterparties.
• Oversee risk methodologies and documentation and obtain approval from internal and external auditors.

Selection Criteria

• Holds at least a Master's degree in Financial Engineering, Quantitative Finance, Applied Finance or a related field.
• Have a minimum of six (06) years of relevant experience in a financial institution or a consulting role, with at least five (5) years in regulatory capital or economic capital management. Experience with an MDB with emphasis on quantitative risk is an advantage.
• In-depth knowledge of credit risk management techniques, capital adequacy requirements, International Financial Reporting Standards, Basel Standards, quantitative financial and risk modelling tools.
• Hands-on experience in credit risk (PD, LGD and EAD) and economic capital models design, management and implementation is required
• Hands-on experience in the preparation of capital adequacy policies and/or reports for an MDB or a financial institution.
• Hands-on experience in modelling, maintaining and updating of software or models for regulatory capital or economic capital.
• Excellent problem-solving skills, project management and IT 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). Experience with SAP and CreditManager environment is an advantage.