December 13th, 2019 at 07:20 pm
The overall purpose of Principal Quantitative Risk Officer at the African Development Bank 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 backtesting 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 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 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 an emphasis on quantitative risk is an advantage.
- In-depth knowledge of market/credit risk management techniques, capital adequacy requirements, International Financial Reporting Standards, quantitative finance and risk modeling tools and methods of fixed income securities (yield curve modeling, 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 an 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 the 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
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