Posted on :
12 Aug, 2013
The Treasury Risk Management Division (FFMA3) is responsible for the identification, measurement, monitoring and mitigation of market and credit risks in the Bank’s Treasury operations. In addition to the risk management activities, the Division ensures the timely reporting of the Treasury Department activities.
The Division is therefore in charge of building an efficient control framework to ensure adherence to the Bank’s Assets and Liabilities Management (ALM) guidelines and to International Financial Reporting Standards (IFRS). Finally, in fulfilling its mission, the Division provides efficient information systems and analytical support tools to the Treasury Department to improve the decision-making process.
Duties and responsibilities
Under the supervision of the Manager of the Treasury Risk Division, the incumbent’s duties and responsibilities will be as follows:
Report on the Bank’s Market Risk
• Ensure the timely production of reports monitoring investment and liability activities for staff, management, the Financial Control Department (FFCO) and the Assets and Liability Management Committee (ALCO);
• Ensure the timely production of market risk reports which include VaR, PFE and CVA
• Performing periodic Backtesting of market risk statistics
• Ensure timely production of Credit VaR reports on the treasury portfolio
• Reviewing collateral documentation including ISDA/CSA and GMRA agreements for risk management issues
• Performing periodic market risk stress tests and Compiling market risk reports to ALCO
• Perform P&L calculation, performance attribution, hedge effectiveness for investment portfolio;
• Keep abreast of developments in IFRS and their impacts on reporting activities in the financial statements.
Provide support to the Front Office Divisions for transaction and risk analysis
• Review the terms of new funding proposals received by counterparties;
• Analyse and assist investment officers to evaluate complex investment structures;
• Communicate VaR, PFE and CVA figures to the front office and participating in the design and implementation of limits
• Ensure that the Bank has the internal capacity to fair value new borrowing transactions proposed by counterparties;
• Participate in the design and implementation of decision support tools that improve the efficiency of investment and liability management activities;
Ensure the proper maintenance of the key treasury systems used to monitor investment and liability management activities
• Monitor the day to day use of Market Risk and Treasury pricing and monitoring systems and the integrity of market and trade data;
• Maintain systems and participate in migrations to new versions to improve the accuracy of security valuations and risk reporting;
• Provide feedback on the impact of configurations for Credit VaR calculations and impact on economic capital calculation
• Participate in the analysis and calibration of trades in Treasury systems during audit reviews.
• Ensure an efficient control framework for treasury investment and liability management activities
• Monitor and report on the compliance with guidelines for investment and liability management transactions.
Qualification Required & Experience
Including desirable skills, knowledge and experience
• At least a Master’s degree in Business Administration, Finance, Banking, Accounting, Economics. Professional qualification in like FRM and PRMIA will be a strong plus;
• A minimum of 5 years of relevant professional experience in IFI’s, with a large scope of treasury activities;
• Working experience in the implementation of Treasury credit monitoring and portfolio management models and stress testing tools used by IFI’s and/or Multilateral Development Banks;
• Solid knowledge and experience with VaR (Value at Risk), PFE (Potential Future Exposure) and CVA (Credit Value Adjustment) pricing
• Good knowledge of treasury financial instruments, fixed income securities, derivatives, and risk management, counterparty risk and collateral management practices.
• Good mastery of standard computer applications (Microsoft office package), and competence in modelling and quantitative products
• Ability to communicate and write effectively in French and/or English, with a working knowledge of the other language;
• Good team worker able to communicate complex market risk concepts with strong interpersonal skills.
• Familiarity with Bloomberg, Reuters, Summit, Numerix and Credit Manager risk software
How To Apply For The Job
Interested and qualified candidates should
Closing Date: 26 August, 2013
Only applicants who fully meet the Bank’s requirements and are being considered for interview will be contacted. Applicants will only be considered if they submit an online application, and attach a comprehensive Curriculum Vitae (CV). The African Development Bank is an equal opportunities employer and female candidates are strongly encouraged to apply