Reference Number: 230262
Position Level: AS 6
Department: Office of Risk Management
Division: Treasury and Operational Risk Unit, ORM
Location: Asian Development Bank Headquarters
Date Posted: Wednesday, May 17, 2023
Closing Date: Thursday, June 29, 2023 11:59 p.m. (2359 Manila Time, 0800 GMT)
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.
ADB only hires nationals of its 68 members.
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 Treasury, Sovereign, and Nonsovereign operations are sustainable by safeguarding ADB’s rating, advising Board and Management on risk issues, and implementing and promoting a strong internal risk culture.
RMTO is responsible for the management of treasury market and credit risk exposures; monitoring and measuring the performance of ADB’s internally and externally managed investment portfolios; and performing independent middle-office functions of derivative transaction confirmations, position valuation/analysis, and compliance monitoring. RMTO also supports ADB in the management of operational risks through risk identification, measurement, monitoring, and reporting.
The Associate Risk Management Analyst will provide technical, analytical and operational support in the valuation of ADB’s derivatives portfolio; perform valuation reconciliation; assist in the derivatives collateral management operations; and perform tasks related to counterparty risk monitoring, exposure calculations and reporting. The incumbent will report to designated International Staff and senior National Staff.
- Derivative Valuation
- Provides support in implementing the mark-to-market of ADB’s derivatives portfolio for daily collateral management operations and monthly financial reporting;
- Assists in validating the correctness and reasonability of market data inputs from Reuters, Bloomberg and other data sources;
- Assists in verifying valuation movements against market data changes; and
- Assists in setting up new structured products in the valuation and risk management systems, as necessary.
- Swap Affirmation and Confirmation
- Ensures that all relevant trade details are verified with counterparties, consistent with the terms of the swap confirmations and properly reflected in the valuation systems;
- Performs new trade affirmations with derivative counterparties and prepares necessary documents to facilitate the review of long form confirmations;
- Maintains a log of all new swap transactions with details of their affirmation, confirmation and system input dates; and
- Ensures that the deals are correctly set up in the system with the relevant market data and that resulting day-one valuations of swap-bond hedges are consistent. Initiates corrective action in coordination with Treasury for any discrepancies noted.
- Assists in coordinating with the other departments/divisions (Accounting Division, Office of the General Counsel, Office of the Auditor General, Funding Division, and Investments Division) on matters related to swaps and bond valuation and collateral management.
- Valuation Reconciliation
- Undertakes regular portfolio reconciliation of ADB’s mark-to-market with that of the counterparties;
- Conducts valuation comparisons in the event of margin call disputes, identifies potential causes of disputes, and investigates further, as necessary;
- Performs monthly valuation reconciliations for all derivative transactions with counterparties and analyzes the causes of discrepancies that exceed the thresholds;
- Liaises with counterparties to confirm their marks and obtain more information on mark-to-market breakdown, methodology and capture time to perform attribution analysis on valuation differences;
- Validates system set up to ensure correctness of ADB’s valuations; and
- Consults with system vendor financial engineers if there are issues with model configuration and calibration.
- System and Application Testing
- Assists in facilitating system enhancements of valuation systems and applications;
- Performs user acceptance testing and reporting validation to ensure changes are properly managed;
- Assists in validating model set-up and configuration;
- Conducts impact analysis to validate deployment of hotfixes and system modifications;
- Flags system-related valuation issues and coordinates with the system vendor for timely resolution; and
- Supports the maintenance of overall integrity of the valuation process through proper controls and documentation.
- Documentation Maintenance
- Maintains and updates all regular documentation related to new derivative transactions, including term sheets, affirmation correspondences with counterparties, long form confirmations, new trade setup and day one valuations;
- Assists in the maintenance of the product and model inventory, and maintains updated documentation of all process guides.
- Attestation Processing
- Assists in facilitating periodic attestation exercises, compliance testing and audits as undertaken by the Controllers team and auditors (internal and external).
- Collateral Management Operation
- Assists as back-up in performing daily collateral management operations;
- Provides support in monitoring the various collateral activities undertaken by the external collateral manager and custodian;
- Prepares relevant valuation, collateral and exposure related reports; and
- Coordinates with the collateral manager and counterparties, as necessary
- Potential Future Exposure (PFE), X-Valuation Adjustment (XVA) and Overnight Index Swap (OIS) Analysis
- Conducts risk-related analyses, as and when needed on PFE, XVA monitoring/reporting and OIS discounting;
- Assists in validating PFE calculations by analyzing simulated exposures through future time steps vis-à-vis market and volatility inputs.
- Performs other duties that may be assigned as reflected in the incumbent’s workplan.
Relevant Experience & Requirements
- Bachelor’s degree in Finance, Economics or Accounting.
- At least 5 years of work experience in treasury or risk management with at least 3 years of experience in derivatives valuation/trading/risk management/collateral management operations or other derivative related fields.
- Good knowledge of relevant derivative products, particularly, swap, options, and other derivative structures.
- Solid numerical ability and able to understand financial models for valuation.
- Good computer skills with sound knowledge of spreadsheets, data functions and macros.
- Preferably with familiarity and working knowledge of Bloomberg, Reuters and valuation systems.
- Effective communication skills in English.
- Please refer to the link for ADB Competency Framework for Administrative Staff Level 6.
The selected candidate, if new to ADB, 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 ihttps://www.adb.org/careers/230262ndividual’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.