The Treasury Risk Management Division (FFMA3) is responsible for the identification, measurement, monitoring and mitigation of market and credit risks in the Bank\u2019s Treasury operations. In addition to the risk management activities, the Division ensures the timely reporting of the Treasury Department activities.<\/p>\n
The Division is therefore in charge of building an efficient control framework to ensure adherence to the Bank\u2019s 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.<\/p>\n
Duties and responsibilities<\/strong><\/p>\n Under the supervision of the Manager of the Treasury Risk Division, the incumbent\u2019s duties and responsibilities will be as follows:<\/p>\n Report on the Bank\u2019s Market Risk<\/strong><\/p>\n \u2022\u00a0\u00a0 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); Provide support to the Front Office Divisions for transaction and risk analysis<\/strong><\/p>\n \u2022\u00a0\u00a0 Review the terms of new funding proposals received by counterparties; Ensure the proper maintenance of the key treasury systems used to monitor investment\u00a0 and liability management activities<\/strong><\/p>\n \u2022\u00a0\u00a0 Monitor the day to day use of Market Risk and Treasury pricing and monitoring systems and the integrity of market and trade data; Qualification Required & Experience<\/strong><\/p>\n Including desirable skills, knowledge and experience<\/strong><\/p>\n \u2022\u00a0\u00a0 At least a Master\u2019s degree in Business Administration, Finance, Banking, Accounting, Economics. Professional qualification in like FRM and PRMIA will be a strong plus;
\n\u2022\u00a0\u00a0 Ensure the timely production of market risk reports which include VaR, PFE and CVA
\n\u2022\u00a0\u00a0 Performing periodic Backtesting of market risk statistics
\n\u2022\u00a0\u00a0 Ensure timely production of Credit VaR reports on the treasury portfolio
\n\u2022\u00a0\u00a0 Reviewing collateral documentation including ISDA\/CSA and GMRA agreements for risk management issues
\n\u2022\u00a0\u00a0 Performing periodic market risk stress tests and Compiling market risk reports to ALCO
\n\u2022\u00a0\u00a0 Perform P&L calculation, performance attribution, hedge effectiveness for investment portfolio;
\n\u2022\u00a0\u00a0 Keep abreast of developments in IFRS and their impacts on reporting activities in the financial statements.<\/p>\n
\n\u2022\u00a0\u00a0 Analyse and assist investment officers to evaluate complex investment structures;
\n\u2022\u00a0\u00a0 Communicate VaR, PFE and CVA figures to the front office and participating in the design and implementation of limits
\n\u2022\u00a0\u00a0 Ensure that the Bank has the internal capacity to fair value new borrowing transactions proposed by counterparties;
\n\u2022\u00a0\u00a0 Participate in the design and implementation of decision support tools that improve the efficiency of investment and liability management activities;<\/p>\n
\n\u2022\u00a0\u00a0 Maintain systems and participate in migrations to new versions to improve the accuracy of security valuations and risk reporting;
\n\u2022\u00a0\u00a0 Provide feedback on the impact of configurations for Credit VaR calculations and impact on economic capital calculation
\n\u2022\u00a0\u00a0 Participate in the analysis and calibration of trades in Treasury systems during audit reviews.
\n\u2022\u00a0\u00a0Ensure an efficient control framework for treasury investment and liability management activities
\n\u2022\u00a0\u00a0 Monitor and report on the compliance with guidelines for investment and liability management transactions.<\/p>\n
\n\u2022\u00a0\u00a0 A minimum of 5 years of relevant professional experience in IFI\u2019s, with a large scope of treasury activities;
\n\u2022\u00a0\u00a0 Working experience in the implementation of Treasury credit monitoring and portfolio management models and stress testing tools used by IFI\u2019s and\/or Multilateral Development Banks;
\n\u2022\u00a0\u00a0 Solid knowledge and experience with VaR (Value at Risk), PFE (Potential Future Exposure)\u00a0 and CVA (Credit Value Adjustment) pricing
\n\u2022\u00a0\u00a0 Good knowledge of treasury financial instruments, fixed income securities, derivatives, and risk management, counterparty risk and collateral management practices.
\n\u2022\u00a0\u00a0 Good mastery of standard computer applications (Microsoft office package), and competence in modelling and quantitative products
\n\u2022\u00a0\u00a0 Ability to communicate and write effectively in French and\/or English, with a working knowledge of the other language;
\n\u2022\u00a0\u00a0 Good team worker able to communicate complex market risk concepts with strong interpersonal skills.
\n\u2022\u00a0\u00a0 Familiarity with Bloomberg, Reuters, Summit, Numerix\u00a0 and\u00a0 Credit Manager risk software<\/p>\n