Principal Treasury Risk Officer, FIFM2 at African Development Bank - AfDB

The Complex

• The Vice Presidency for Finance oversees the financial management of the Bank Group.
• This encompasses the Bank Group’s treasury activities including borrowings from the capital markets and investment activities, controllership functions including financial reporting and loan administration, strategic resource mobilization and the strengthening of the non-statutory financial resources and instruments, and the overall asset/liability management for the Bank Group.

The Hiring Department / Division

• The overall objective of the Financial Management Department is to safeguard and improve the Bank Group’s risk bearing capacity while looking to optimize efficiency to benefit clients, shareholders and staff.
• The role of the Treasury Risk Management Division is the management and reporting of treasury risk and the oversight of treasury activities that enable the Bank to make informed and profitable investment and borrowing decisions thereby preserving capital, optimizing profitability and maintaining a strong credit rating.

The Division’s objectives are to:

• Identify, measure, monitor and mitigate market and credit risks in the Bank’s Treasury operations;
• Ensure the timely reporting of the Treasury Department’s borrowing and investment activities;
• Build an efficient control framework to ensure the adherence to the Bank’s policies, Assets and Liabilities Management (ALM) guidelines and to International Financial Reporting Standards (IFRS);
• Provide efficient information systems and analytical support tools to the Treasury Department to improve the decision-making process.

The Position

• Under the supervision of the Division Manager Treasury risk management, the Principal Treasury Risk Officer is responsible for compliance monitoring and risk reporting of treasury activities, market and counterparty credit risk exposures and the provision of related treasury risk expertise in support of the overall risk management activities if the Bank Group.

Key Responsibilities

Under the overall supervision of the Division Manager FIFM2, the Treasury Risk Officer will perform the following:

Manage market and counterparty credit risks of the Treasury Operations:

• Responsible for the identification, measurement, analysis, monitoring and mitigation of the credit, counterparty, market and liquidity risks borne by the Bank’s treasury activities
• Monitor the market and credit exposure of treasury investment and liability portfolios and produce ad-hoc reports in case of changes in market conditions or counterparty credit quality that may affect treasury operations;
• Monitor and advise on limits for credit risk exposure concentration by credit rating categories and types of counterparties;
• Review the terms of new funding proposals received by counterparties. Ensure that the Bank has the internal capacity to fair value new borrowing transactions;
• Advise on the financial terms of local currency and rate fixing loan swaps proposals;
• Review credit support annexes(CSA) of International Swaps and Derivatives Association (ISDA) agreements and the terms of risk mitigation techniques related to exposure netting with counterparties and collateral posting;

Supervise treasury reporting and risk control activities:

• Ensure the timely production of reports monitoring investment and liability activities for staff, management, the Financial Control Department and the Assets and Liability Management Committee (ALCO);
• Ensure the timely production of risk reports including Market Risk VaR/Stressed VaR, Expected Shortfall, Credit VaR, PFE and CVA.
• Performing periodic stress testing and backtesting.
• Perform PnL calculation, performance attribution, hedge effectiveness for investment and Borrowing portfolios.
• Provide third level support and guidance on treasury portfolios valuations, daily and weekly reporting issues as well as on transactions risk control and processing issues
• Monitor approved lists of International Swaps and Derivatives Association (ISDA) and International Securities Market Association (ISMA) agreements, depository banks, brokers and futures counterparties;

Serve as a focal point for Treasury Risk expertise:

• Design and perform financial validation on models (calibration, pricing, and model greeks) across multiple asset classes
• Produce and deliver key derivatives valuation reports and ensuring that the calculations required are performed in alignment with best market practices.
• Participate to the development, enhancement and maintenance of the quantitative risk analytics, models, methodologies and frameworks;
• Provide Treasury Risk views in Asset and Liability Working Groups related to Interest Rate Risk, Projections, Financial Products and/or Currency Risk Management;

Participate to  the implementation of risk measurement framework and tools:

• Design systems and procedures for the improvement of treasury risk analytics and measurement framework;
• Team up with Treasury Risk Information Technology Officers to develop new reports, dashboards and controls as well as decision support tools that improve the efficiency of treasury activities and related market and counterparty credit risk management activities. That includes to produce or oversee the specifications for functionalities that need to be built, to perform or organize the functional tests and to train staffs after implementation;
• Monitor evolving treasury systems data requirement, participate as a business/functional expert to the migrations to new versions;
• Keep abreast of evolutions on International Financial Reporting Standards (IFRS) and conduct the implementation of necessary developments to ensure compliance to standards;
• Keep abreast of new methodologies on market and counterparty credit risks best practices, and conduct the implementation of needed measures and required evolutions;

Coordinate proposals for reforms on guidelines and procedures:

• Elaborate and formulate policy proposals for amendments of Asset and Liability Management guidelines when necessary;
• Coordinate the implementation of internal and external audit recommendations;
• Review and collect inputs on treasury risk management operational procedures, propose new controls and optimized processes to reduce operational risk and to ensure compliance to standards.
• Organize the update of procedures manuals.
• Perform other duties as assigned by the division manager

Competencies (Skills, Experience and Knowledge)

• Hold at least a Master's Degree in quantitative subjects such as Mathematics, Physics, Financial Engineering, Statistics or Banking or related fields.
• Professional certification in Risk and/or Finance such as Financial Risk Manager (FRM), Professional Risk Manager (PRM), Chartered Financial Analyst (CFA) or Certificate in Quantitative Finance (CQF) will be an advantage.
• Have a minimum of six (06) years of relevant professional experience in International Financial Institutions or Investment Banks, with a large scope of treasury or fixed income activities and reporting. Working experience in Fixed Income and Derivatives front-office, middle-office or risk management departments will be an advantage.
• In-depth knowledge of market and Counterparty Credit risk management techniques (VaR, CVA, DVA, PFE),  International Financial Reporting Standards, quantitative financial and risk modelling tools and methods of fixed income securities (yield curve modelling, bond and derivative pricing, Monte Carlo Simulations, sensitivity measures) are required.
•  Solid understanding of Quantitative Financial Engineering, involving Fixed Income and FX exotic is a must. In depth knowledge and exposure to the product models such as Bermudan Callable, PRDCs etc. is as strong plus
• Communication; Client orientation; Team working and relationships; Operational effectiveness.
• Analytical and numerical skills with a good eye for detail.
• Ability to cope under pressure with strong planning and organization skills.
• Ability to work autonomously as well as part of a multicultural team.
• Ability to communicate effectively (written and oral) in English or French preferably with a working knowledge of the other language.
• Competence in the use of standard Microsoft Office Suite applications and preferable experience of SAP Operations. Experience in using Summit, Bloomberg, Reuters, Numerix, as well as a knowledge of light programming or database languages like Excel VBA, SQL, Python or C++ would be an advantage.