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Chief Quantitative Risk Officer

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  • Position title: Chief Quantitative Risk Officer
  • Grade: PL3
  • Position N°: 50065854
  • Reference: ADB/19/076
  • Publication date: 24/04/2019
  • Closing date: 23/05/2019
  • Country: Côte d’Ivoire

Objectives

THE BANK:

Established in 1964, the African Development Bank (AfDB) 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 sharply 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 Bank is seeking to build a management team that will lead the successful implementation of this vision.

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 Chief Quantitative Risk Officer is to identify and monitor the credit risk, determine the Bank’s economic and capital adequacy, review and ensure the integrity of credit models, and the reasonableness of their assumptions. The selected candidate should ensure compliance with the capital adequacy policy, International Financial Reporting Standards 9 requirements, determine the Bank’s lending program with regard to the concentration risk, and formulate, review and update credit risk policies, guidelines and procedures.

Duties and responsibilities

Under the supervision and guidance of the 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 economic, capital adequacy and optimization, credit models and portfolio monitoring.
  2. Lead the computation and calibration of the Bank’s credit risk parameters: Probabilities of Defaults, Loss Given Defaults, Expected Credit Losses of the sovereign and non-sovereign portfolios, and Correlation between asset classes.
  3. Review, report and ensure compliance of the Bank with its capital adequacy framework and accounting standards such as International Financial Reporting Standards 9.
  4. Lead the periodic review and validation of credit risk and 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 ratios and concentration risk and ensure compliance with risk appetite limits.
  7. Lead the lending scenario analysis and assess the impact on the Bank’s prudential ratios as well as on the countries exposure limits. Lead data handling and analysis, and stress testing results.
  8. Participate in the sovereign and non-sovereign credit risk assessments.
  9. Model, participate to the different working groups on the optimization of the Bank’s balance sheet e.g. Exposure Exchange Agreement, R2R transactions, and monitor structured transactions/portfolios.
  10. Maintain a close relationship with key partners, including the Bretton Woods Institutions, to review the Bank Group’s credit management policies and guidelines.

Selection Criteria

  1. Holds at least Master’s degree or equivalent in Financial Engineering, Risk Management, Applied Finance, International Banking or Economics.
  2. A minimum of seven (7) years of relevant experience in risk management and/or credit modelling.
  3. Very strong knowledge of credit/market risk models and techniques, capital adequacy requirements, International Financial Reporting Standards.
  4. Good knowledge of risk mitigation products, credit risk derivatives and structured/synthetic credit instruments.
  5. Good knowledge of the Bank’s development mission, products, and credit risk policies.
  6. Excellent organizational, analytical and problem-solving skills. High-level proficiency of data management and demonstrated quantitative analysis and analytical skills.
  7. Problem solving: Apply business knowledge to the resolution of problems and identify solutions to the benefit of the division and the organization.
  8. 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.
  9. Operational effectiveness: Ensure that full use is made of the systems, procedures and culture within the organization in order to deliver the required results.
  10. Innovation and Creativity: 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.
  11. 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.
  12. Ability to communicate effectively (written and oral) in English or French preferably with a working knowledge of the other.
  13. Competence in the use of standard MS office applications (Word, Excel, Access, and PowerPoint).

THIS POSITION IS CLASSIFIED INTERNATIONAL STATUS AND ATTRACTS INTERNATIONAL TERMS AND CONDITIONS OF EMPLOYMENT.

Should you encounter technical difficulties in submitting your application, please send an email with a precise description of the issue and/or a screenshot showing the problem to: HR Direct HRDirect@AFDB.ORG


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