Chief Treasury Risk Officer - Treasury Risk Management Division

The overall objective of the Financial Management Department is to safeguard and enhance the Bank Group’s risk bearing capacity while seeking ways to improve its efficient use for the benefit of clients and shareholders. The specific objectives of the Treasury Risk Management Division are to:

• Identify, measure and monitor the market and credit risks in Bank’s Treasury operations;
• Ensure the timely reporting of credit exposures, instrument valuations and portfolio performance;
• Build an efficient control framework to ensure adherence to the Bank’s Assets and Liability Management (ALM) guidelines and to International Financial Reporting Standards (IFRS);
• Provide efficient information systems and analytical support tools in support of improved decision-making.

Duties and responsibilities

Under the general guidance and direction of the Division Manager, the incumbent will perform the following duties and responsibilities:
Responsible for Risk Analytics and Review of Treasury Transactions:

• Lead the review and analysis of treasury transactions and the design and implementation of models and methodologies for pricing, exposure measurement and fair valuation of these instruments;
• Lead the implementation and improvement of market and credit risk management measurements, methodologies and reporting; Lead the preparation of the Bank Group’s annual market risk review.
• Supervise reporting of the Bank’s Treasury Risk Management Activities:
• Oversee the quality control of all treasury risk reports (including investment performance, borrowing and counterparty exposures
• Ensure accuracy of all investment, liability and derivatives valuations and of cash flow reports;
• Monitor the credit quality and liquidity of Treasury’s investments in asset-backed and mortgage-backed securities;
• Recommend and monitor limits for credit risk exposure by categories and types of assets.
• Design an efficient control framework for treasury risk management activities:
• Responsible for the review and improvement of the ALM guidelines and supervision of the staff to ensure the compliance of investment transactions with these guidelines;
• Design an efficient control framework to ensure that all risks related to treasury investment, borrowing and other activities are well monitored and reported.

Selection Criteria

Including desirable skills, knowledge and experience

• At least a Masters in Business Administration, Finance, Banking, Accounting, Economics. Professional qualification in risk management will be a plus.
• Preferably 7 years of relevant experience in relevant professional experience in banking, treasury management, risk management or comparable professional practice;
• Working experience in the implementation of Treasury credit monitoring and portfolio management systems used by Investment Banks and Multilateral Development Banks;
• Strong knowledge of capital markets, fixed income markets, macro-economic, financial theory and credit risk management;
• Good knowledge of stochastic process, Monte Carlo simulation and Value-at-Risk methodology;
• Good knowledge of treasury financial instruments, fixed income securities, derivatives, equity products and risk management concepts;
• Good mastery of specialized Treasury pricing systems for derivative instruments such as Summit, Numerix or other systems used by investment banks;
• Good mastery of standard computer applications (Microsoft office package), and competence in modeling and quantitative methods;
• Ability to communicate and write effectively in French and/or English, with a working knowledge of the other language;
• Good team worker with strong interpersonal and communication skills.

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To apply for this position, you need to be national of one of AfDB member countries.