The Market Risk Officer will be required to:

1. Formulate risk policies, risk appetite, tolerance statement and framework for market and liquidity risks at CDB. This includes defining guidelines and processes for reviewing, monitoring, and reporting these risks.

2. Review the compliance with risk policies, risk appetite, and tolerance statement and framework for market and liquidity risks at CDB.

3. Upgrade market risk methodologies for risk assessment, mitigation (e.g. hedging, balance sheet optimisations), stress testing; and appropriate MDBs best practice market risk management tools and reporting.

4. Upgrade the liquidity risk management policies and methodologies, including stress testing; and appropriate MDBs best practice liquidity risk management tools and reporting.

5. Review the compliance with market risks and liquidity risk methodologies.

6. Formulate and monitor Financial Key Risk Indicators (KRIs), establishing market and liquidity risks monitoring requirements and reporting; report frequently and comprehensively on the level 2 and level 3 risks facing CDB with proposed effective mitigation controls.

7. Design and implement models (e.g. VaR, Expected Shortfall etc.) supported by digital systems and embark on extensive risk exercises to guide the organisation’s strategic planning operationalization and future policy initiatives.

8. Conduct rigorous stress testing and scenario analysis on an ongoing basis to better understand gaps and CDB’s preparedness to mitigate anticipated and unanticipated market and liquidity and related emerging risks.

9. Assess, monitor, review, and communicate the impact on the risk profile of future initiatives, including new balance sheet optimisations and other hedging instruments assessments, changes to strategies, targeted risk reviews, and major financial architecture changes.

10. Develop a sound working relationship with other departments (e.g. Treasury, Finance, Strategy, Economics) to safeguard “buy-in”, participation, ownership and implementation by all areas of the organization with a special focus on ALM, liquidity and funding strategies and operations.

11. Select, implement and maintain analytical enterprise-wide digital systems to enhance the timeliness, completeness, and accuracy of risks information, provided to end-users via risk dashboards, report automation, query access to data, and/or intranet reporting solutions.

12. Maintain technical competency, professionalism and high ethical standards within the ORM team and contribute to enhancing the CDB-wide risk culture.

13. Assist the CRO in developing quarterly, semi-annual and/or annual risk reports to the stakeholders and develop capacity-building programs for different stakeholders.

Requirements: 

The ideal candidate for this role should have:

• A master’s degree in a numerate discipline.
• At least 5 (five) years of sound financial (market, liquidity, ALM) risk management experience.
• Sound experience applying risk quantitative assessment and risk management techniques.
• Multilateral Development Bank and/or financial institutions experience is required.
• Professional qualification in Risk Management and/or Internal Audit is desirable.

Function-Specific Competencies

Candidates should have strong proficiency in:

• Understanding and applying market and liquidity risk management principles, processes, methodologies, tools, and governance principles in a multilateral or financial services environment.
• ALM, market, and liquidity risk data aggregation; trending; management; and analysis.
• Scoping and developing risk monitoring, reporting, limits definition/management, and key risk indicators.
• Project/program management, utilizing international best practices.
• Conducting research, data analysis, and analytical modelling.
• Applying quantitative, mathematical, modelling, and statistical skills to risk management.
• Understanding regional and international financial regulatory developments.
• Using Excel, including creating macros, pivot tables, etc.
• Interacting effectively at all organizational levels and working successfully in a multicultural environment.
• Demonstrating English written and verbal communication skills, with a proven ability to communicate with senior managers.