Close relatives1 of ADB staff, except spouses of international staff, are not eligible for recruitment and appointment to staff positions. Applicants are expected to disclose if they have any relative/s by consanguinity/blood, by adoption and/or by affinity/marriage presently employed in ADB.
1 Close relatives refer to spouse, children, mother, father, brother and sister, niece, nephew, aunt and uncle.
Staff on probation are not eligible to apply. Applicants for promotion must have served at their position for at least one year and must have normally served at their personal level for at least two years immediately preceding the date of the vacancy closing date. Applicants for lateral transfer must have served at their position and personal level for at least one year immediately preceding the date of the vacancy closing date (reference A.O. 2.03, paragraphs 5.8 and 5.9).
In the event that the staff appointed to a new category (i.e. from AS to NS, or from NS to IS) is rated at 2 or lower in the first two performance reviews after appointment at the new level, they will return to the level occupied immediately prior to their appointment in the new category.
Asian Development Bank (ADB) is an international development finance institution headquartered in Manila, Philippines and is composed of 68 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.
The position is assigned in the Treasury and Operational Risk Unit (RMTO) within the Office of Risk Management (ORM). ORM has a broad mandate and ensures that ADB's sovereign and private sector operations are sustainable by safeguarding ADB's rating, advising Board and Management on risk issues and the implementation and management of strong internal risk cultures. ADB's asset portfolio contains loans, guarantees, and equity investments across ADB's region in both hard and local currencies.
RMTO is responsible for (i) the proper management of market and treasury credit risk exposures in ADB; (ii) monitoring and measuring the performance of ADB's internally and externally managed investment portfolios; and (iii) performing independent middle-office functions of derivative transaction confirmation, position valuation/analysis, and compliance monitoring. RMTO also supports ADB in the management of operational risks through risk identification, measurement, monitoring and reporting.
The Senior Risk Management Officer provides (i) technical, analytical and operational support in the valuation of ADB's borrowing and derivatives portfolio, including the validation of trade and market data inputs, maintenance of pricing systems and model validation, structuring pricing templates for structured products and exotic derivatives, and performing deal efficiency analysis, among other risk reports; (ii) support in monitoring and reporting counterparty credit risk exposures arising from derivative transactions and facilitate the associated collateral management operations and reconciliation of swap valuations with counterparties; (iii) operational and analytical support for valuation-related systems, applications, and the Treasury Risk Management System (TRMS); and (iv) ad-hoc risk reporting and analysis.
The incumbent will report to Advisor, RMOD and Head, RMTO and/or designated international staff.
a. Valuation Application and System Support
- Provides technical, analytical and operational support in the implementation and maintenance of valuation-related systems and applications (Numerix Oneview / Numerix Cross Asset), in coordination with the vendor and relevant internal/external stakeholders.
- Ensures proper and efficient operation of the valuation system applications, including set up of market data, trade data, valuation and related interfaces with front-office source systems (Summit/iFIRST). Mitigates operational risk through automation or process improvements in workflow, system interfaces or report generation.
- Provides the lead role in the further development or enhancement of valuation systems and supported risk management applications. Performs user acceptance testing (UAT) as part of system upgrade or migration activities, including valuation validation, regression testing, reports generation, reconciliation and resolution of identified issues.
- Implements necessary changes in valuation systems in relation to LIBOR replacement, various valuation adjustments (xVA), migration to cloud and other enhancements in response to market developments and to align with industry best practice. Participates in the further development and maintenance of TRMS.
b. Derivatives Valuation and Data Control
- Facilitates and implements the mark-to-market of ADB's derivatives portfolio for collateral management and financial reporting. Validates correctness and reasonability of market data inputs. Reviews the curve construction, application of basis adjustments and derivation of credit spread for various currencies.
- Analyzes validity and consistency of valuation results vis-à-vis changes in market factors. Generates risk reports (sensitivity/simulation, valuation analysis, hedge analysis, etc.) for the swaps and bond portfolios for risk management analysis and financial reporting.
- Analyzes mark-to-market changes and attributes variances in the reported derivative valuations. Presents and discusses the valuation results with other departments on a periodic (quarterly) basis.
- Implements internal controls over financial reporting and perform remediation actions on deficiencies noted by internal and external auditors. Conducts periodic checks to ensure correctness of market data capture, data mapping, spreadsheet links, functions and formula. Facilitates attestation activities and discussions and respond to valuation related queries.
c. New Structured Products, Exotic Derivatives and other Loan Related Transactions
- Determines whether the new derivative products initiated by Treasury can be supported and valued by existing systems. Facilitates the valuation set up of various structured products and exotic derivatives.
- Reviews completeness of market data, including the relevant projection curve, discount curve, LIBOR and currency basis spreads and credit spreads. Reviews trade set up and the reasonability of resulting cash flows and valuations. Performs pricing, calibration, convergence checks and sensitivity analysis on these new structures or products, as necessary.
- Facilitates the valuation of various loan or local currency related derivative transactions initiated by PSOD and/or Treasury. Evaluates all required market data for valuation and ascertain whether data is available or can be procured.
d. Model Validation and Monitoring
- Assists in reviewing the validity of models constructed by external consultants (Numerix) for the valuation of exotic derivatives and structured products. Monitors changes in model outputs to check for model stability and continued relevance.
- Supports implementing necessary changes to model calibration, parameters or implementation to enhance the valuation process. Reviews and/or enhances current policies and guidelines on pricing hierarchy, credit spread adjustments, currency basis adjustments, LIBOR basis adjustments and other valuation related methodologies and practices.
- Maintains a product inventory and relevant documentation covering items such as deal description, required market data, valuation issue, model selection and calibration strategies, with particular focus on structured products and exotic derivatives.
e. Risk Reporting Analysis and Deal Efficiency Analysis
- Assists in working and coordinating with external risk report analytical provider on existing and additional risk analysis and reporting requirements and ensuring that only validated internal and audited external data are used in risk analysis and reports.
- Performs deal efficiency and hedge analysis on all new derivative transactions related to borrowings, investments and loans at initiation and termination.
- Provides Day 1/trade date valuations as part of monthly financial reporting activities.
f. Valuation Reconciliation and Collateral Management
- Validates portfolio reconciliations of internal valuations with counterparty valuations, identifies sources of discrepancy, performs attribution and executes necessary calculations. Analyzes discrepancies that exceed specified tolerance levels or thresholds. Simulates valuations using market data and/or cash flows from counterparties to help in resolving collateral disputes.
- Performs regular valuation reconciliation reports. Investigates reasons for the substantial differences. Coordinates with the external consultants in performing model calibrations or adjustments to achieve convergence with counterparty valuation, if necessary.
g. Counterparty Risk Management
- Monitors compliance of swap counterparty exposures with credit limits and see to it that these exposures are properly collateralized. Monitors counterparty credit ratings, exposure and limit utilization.
- Keeps abreast with market developments and news relating to ADB's swap counterparties to anticipate credit rating downgrades and to assess impact on exposure.
- Assists in the preparation of derivative related counterparty risk exposure reports required by credit rating agencies for purposes of their periodic due diligence and credit rating reviews conducted on ADB.
- Participates in International Swaps and Derivatives Association (ISDA), Master Agreement and Credit Support Annex (CSA) negotiations, as necessary.
Relevant Experience & Requirements
- University degree in financial engineering, finance, accounting, economics, mathematics, or statistics preferably with Master's degree or equivalent, and relevant professional certification (e.g., CFA or FRM).
- At least 10 years of experience in risk management or treasury, particularly in the areas of derivatives and counterparty risk management and system implementation of valuation, risk and treasury applications; and at least 5 years of supervisory experience.
- 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; preferable with programming or information technology background relating to financial instruments.
- Strong functional and system knowledge of treasury risk applications.
- Proficiency with specialized derivatives valuation software.
- Good computer skills with sound knowledge of common word-processing, spreadsheets and graphics software.
- Good working knowledge of Bloomberg and Reuters.
- Proficiency in use of computer databases to input/extract information and to generate standard/ad hoc reports.
- Effective report-writing and communication skills in English.
- Please refer to the link for ADB Competency Framework for National Staff Levels 3-4.
The selected candidate is appointed for an initial term of 3 years.
ADB offers competitive remuneration and a comprehensive benefits package. Actual appointment salary will be based on ADB's standards and computation, taking into account the selected individual's qualifications and experience.
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.
Please note that the actual level and salary will be based on qualifications of the selected candidate.