Associate Risk Management Officer
Job Vacancy | Thursday, December 5, 2024
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Reference Number | 240802 |
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Position Level | NS 1 |
Department | Office of Risk Management |
Division | Treasury and Liquidity Risk Division |
Location | Asian Development Bank Headquarters |
Date Posted | Thursday, December 5, 2024 |
Closing Date | Thursday, December 19, 2024 11:59 p.m. (2359 Manila Time, 0800 GMT) |
Join Our Mission to Foster Prosperity in Asia
Are you ready to make a lasting impact on the future of Asia and be a catalyst for positive change? We are thrilled to offer a unique opportunity to become an important part of the prestigious Asian Development Bank (ADB). At ADB, our mission is simple yet powerful: to alleviate poverty and promote sustainable development in the Asia-Pacific region.
Organizational Setting and Reporting Relationship
The position of Associate Risk Management Officer is assigned to the Treasury and Liquidity Risk Division (RMTL) within the Office of Risk Management. You will be based at our Headquarters in Manila, Philippines.
You will report to designated international staff and senior national staff.
Your Role
As an Associate Risk Management Officer, you will provide (i) technical and operational support in the valuation of ADB’s borrowing and derivatives portfolios; (ii) support in monitoring and reporting counterparty credit risk exposures arising from derivative transactions and in facilitating the associated collateral management operations and reconciliation of swap valuations with counterparties; (iii) analytical support for the Treasury Risk Management System; and (iv) ad-hoc risk reporting and analysis.
You will:
A. Derivatives Valuation, System Application Maintenance and Data Control
- Facilitate and implement the mark-to-market valuation of ADB’s derivatives and borrowings portfolio for collateral management and financial reporting.
- Validate correctness, reasonability and proper application of market and credit data utilized for valuations.
- Ensure proper and efficient operation of the valuation system applications (Summit/iFIRST and Numerix Oneview/CrossAsset), including market data, trade data and valuation interfaces among these systems.
- Review validity and consistency of valuation results vis-à-vis changes in market factors.
- Help maintain valuation systems and related risk management applications (Treasury Risk Management System).
- Coordinate with the relevant teams (market data, IT or valuation vendor support) to investigate and resolve issues.
- Mitigate operational risk through automation or process improvements in workflow, system interfaces or report generation.
- Participate in the further development or enhancement of valuation systems and support risk management applications.
- Collaborate and support in the user acceptance testing (UAT) as part of system upgrade or migration activities, including valuation validation, reports generation, reconciliation and resolution of identified issues.
- Contribute to the evaluation of new valuation systems and/or analytical tools.
- In coordination with the Treasury and Controller’s groups, help maintain overall integrity of the valuation process to ensure proper financial reporting of fair market values. Provide inputs to explain and attribute variances in the reported derivative valuations. Conduct periodic checks to ensure correctness of market data capture, data mapping, spreadsheet links, functions and formula.
- Implement internal controls over financial reporting and perform remediation actions on deficiencies noted by internal and external auditors.
- Participate in the periodic (quarterly) valuation reviews and discussions with the Controller’s group.
B. New Structured Products and Transactions
- Facilitate the valuation set up of new derivative products or structures for purposes of determining whether the new derivative products initiated by Treasury can be supported and valued by existing systems.
- Liaise with internal clients (Treasury and Controller’s Departments) and/or external valuation consultants (Numerix) for the set-up and interface of relevant market and trade data for the new structure.
- Review completeness of market data, including the relevant projection curve, discount curve, LIBOR and currency basis spreads and credit spreads.
- Review trade set up and the reasonability of resulting cash flows and valuations.
- Perform pricing, calibration, convergence checks and sensitivity analysis on these new structures or products, as necessary.
- Implement the periodic valuations for the new structure for purposes of collateral management and financial statement reporting.
C. Model Validation and Monitoring
- Support the validity of models constructed by external consultants (Numerix) for the valuation of exotic derivatives and structured products.
- Provide support in evaluating whether the selected valuation methodologies, numerical methods and calibration strategies are appropriate to the financial instruments being valued and whether these are consistent with best market practice.
- Monitor changes in model outputs to check for model stability and continued relevance. Perform regular comparisons with obtained counterparty valuations as an independent check.
- Help implement necessary changes to model calibration, parameters or implementation to enhance the valuation process. Review and/or enhance current policies and guidelines on pricing hierarchy, credit spread adjustments, currency basis adjustments, LIBOR basis adjustments and other valuation related methodologies and practices.
- Help maintain product inventory and relevant documentation covering items such as deal description, required market data, valuation issue, model selection and calibration strategies.
D. Valuation Reconciliation and Collateral Management
- Perform regular valuation reconciliation reports to compare internal valuations with counterparty valuations. Investigates reasons for substantial differences by identifying the sources of discrepancy, performing attribution analysis and executing necessary calculations.
- Ensure that the discrepancies are within specified tolerance levels or thresholds. Simulate valuations using market data and/or cash flows from counterparties to help in resolving collateral disputes.
- Collaborate with the external collateral manager to ensure efficient operations of collateral calls/returns/disputes and resolutions.
- Coordinate with the external valuation consultants in performing model calibrations or adjustments to achieve convergence with counterparty valuation.
E. Deal Efficiency and Hedge Analysis
- Perform deal efficiency and hedge analysis on all new derivative transactions related to borrowings, investments and loans at initiation and termination.
- Ensure that the resulting marked-to-market gains and losses are within prescribed thresholds. Investigates potential issues and discrepancies, if any.
F. Disaster Recovery / Business Continuity
- Participate in assuring that all risk systems and requirements are properly set in the disaster recovery site to ensure a smooth flow of process in meeting ADB’s contractual obligations.
- Act as an alternate in performing all business processes in times of disaster when the relevant staff is not available.
Qualifications
You will need:
- Bachelor’s degree in financial engineering, finance, accounting, economics, mathematics, or statistics. A Master’s degree and/or other relevant professional qualifications (e.g. CFA or FRM designation) is an advantage.
- At least 6 years of experience in risk management or treasury, particularly in the areas of funding, derivatives valuations or counterparty risk management.
- Comprehensive knowledge of relevant treasury operations and products, particularly, swap, options and other derivative structures.
- Solid numerical ability and able to understand financial models for valuation, preferably with programming or information technology background relating to financial instruments
- Proficiency with specialized derivatives valuation software and treasury risk applications.
- Familiarity and working knowledge of Bloomberg and Reuters.
- Proficiency in use of analytical tools and computer databases to input/extract information and to generate standard/ad hoc reports.
- Excellent written and verbal communication skills in English
- Please refer to the link for ADB Competency Framework for National Staff Level 1.
Benefits
ADB offers competitive compensation and a comprehensive benefits package. The salary will be based on ADB’s standards and comparator markets, taking into account your qualifications and experience.
- Paid leave (including parental)
- Medical and health benefits
- Life and other insurance plans
- Staff development
- Retirement plan
- Housing and education allowance (if applicable)
- Expatriate benefits (for international staff)
Additional Information
ADB will be rolling out a new job grading structure on 1 January 2025, which may result in a change of the position grade and title with no change in the terms of reference. By proceeding with your application, you acknowledge and accept all changes resulting from the new job grading structure.
About Us
Asian Development Bank (ADB) is an international development finance institution headquartered in Manila, Philippines and is composed of 69 members, 49 of which are from the Asia and Pacific region. ADB is committed to achieving a prosperous, inclusive, resilient, and sustainable Asia and the Pacific, while sustaining its efforts to eradicate extreme poverty. ADB combines finance, knowledge, and partnerships to fulfill its expanded vision under its Strategy 2030.
ADB only hires nationals of its 69 members.
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ADB seeks to ensure that everyone is treated with respect and given equal opportunities to work in an inclusive environment. ADB encourages all qualified candidates to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. Women are highly encouraged to apply.
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