- Position title: Chief Quantitative Risk Officer
- Grade: PL3
- Position N°: 50076383
- Reference: ADB/17/202
- Publication date: 16/05/2017
- Closing date: 07/06/2017
- Country: Côte d’Ivoire
Established in 1964, the African Development Bank is the premier pan-African development institution, promoting economic growth and social progress across the continent. There are 80 member states, including 54 in Africa (Regional Member Countries). The Bank’s development agenda is delivering the financial and technical support for transformative projects that will significantly reduce poverty through inclusive and sustainable economic growth. In order to focus the objectives of the Ten Year Strategy (2013 – 2022) and ensure greater developmental impact, five major areas (High 5s), all of which will accelerate our delivery for Africa, have been identified for scaling up, namely; energy, agro-business, industrialization, integration and improving the quality of life for the people of Africa.
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 Directorate; 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 Sovereign Division is within the broad mandate of Credit Risk Management Department which assess Sovereign and Non-Sovereign Credit Risks, measure their impact on the Bank’s risk bearing capacity and propose risk mitigation techniques. The department develops policies and guidelines, methodologies and systems relating to credit risk assessment and management for the Bank as well as ensures internal consistency of all Bank’s credit risk policies and guidelines including those initiated and developed by other Departments. The department also monitors and reports on compliance with credit policies.
The overall purpose of Chief Quantitative Risk Officer is to identify and monitor of the credit risk and ensuring 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 9 requirements, optimizes the region lending program with regard to the concentration risk and formulates, review and update policies, guidelines and procedures relating to the credit risk management and capital adequacy.
Under the supervision and guidance of the Non Sovereign, Division Manager, the Chief Quantitative Risk Officer will:
1. 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, 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.
5. Lead the development and upgrading of risk identification and assessment methodologies, including appropriate assessment, monitoring and management tools and systems.
6. Manage prudential limits and concentration risk and ensure compliance with risk appetite limits.
- Lead the analysis of lending scenario and assess the impact on the Bank’s prudential ratios as well as on the countries exposure limits.
8. 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 to the different working groups on the optimization of the Bank’s balance sheet (e.g. Exposure Exchange Agreement).
- Discuss issues pertaining the Bank’s ratings with rating agencies.
13. Participate to 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.
Including desirable skills, knowledge and experience
COMPETENCIES (skills, experience and knowledge):
1. Holds a Master’s degree or equivalent in Risk Management, International Banking or Economics
2. A minimum of Seven (7) years of relevant experience related to financial modelling. Strong knowledge of credit risk models as well as capital adequacy standards and International Financial Reporting Standards are required as well as strong quantitative and analytical skills.
3. Very Strong knowledge of credit risk models, Capital Adequacy requirement and rating agencies models
4. 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
5. 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.
6. 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
7. 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.
8. Teamwork & Relationships: Work with others to maximize the effectiveness of the team as a whole, share the knowledge and workload. Develop strong working relationships with colleagues and contribute to creation of a positive team environment
9. Good knowledge of credit risk management techniques and sophisticated risk mitigation products;
10. High level professional knowledge of qualitative and quantitative credit portfolio management techniques, structured credit instruments and credit risk derivatives.
11. 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.
12. Competence in the use of standard Microsoft Office Suite applications. Knowledge of SAP is an asset.
INFORMATION ON THE POSITION:
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Applicants who fully meet the Bank's requirements and are considered for interview will be contacted. Only online applications submitted with a comprehensive Curriculum Vitae (CV) and copies of the required degrees will be considered. The President, AfDB, reserves the right to appoint a candidate at a lower level. The African Development Bank is an equal opportunities employer. Female candidates are strongly encouraged to apply. www.afdb.org
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