Risk Management Analyst

Job Posting Organization:
The Asian Development Bank (ADB) is an international development finance institution that was established in 1966 and is headquartered in Manila, Philippines. ADB is composed of 69 member countries, with 49 of them located in the Asia and Pacific region. The organization is dedicated to alleviating poverty and promoting sustainable development across the Asia-Pacific region. ADB aims to achieve a prosperous, inclusive, resilient, and sustainable Asia and the Pacific, while also focusing on eradicating extreme poverty. The institution combines finance, knowledge, and partnerships to fulfill its expanded vision under Strategy 203

• ADB is committed to creating an inclusive work environment and encourages applications from all qualified candidates, regardless of their background, gender, or disabilities. Women are particularly encouraged to apply.

Job Overview:
As a Risk Management Analyst at ADB, you will play a crucial role in the Treasury and Liquidity Risk Division, specifically within the Office of Risk Management. Your primary responsibilities will include creating daily end-of-day valuations of ADB's swap portfolio, validating market data, analyzing mark-to-market changes, and generating relevant reports. You will also be responsible for monthly valuations of swaps and borrowings portfolios for financial reporting purposes. Your role will involve monitoring collateral balances, preparing counterparty exposure reports, analyzing margin call disputes, and collaborating with external collateral managers and custodians. Additionally, you will affirm trades with counterparties and set up trade details in the valuation system for exotic derivatives. Your contributions will be vital in ensuring organizational resiliency by implementing backup mechanisms and established business contingency plans.

Duties and Responsibilities:

• Derivatives Valuation: Perform daily mark-to-market valuation of ADB's derivatives portfolio for collateral management. Prepare monthly valuation of the derivatives and borrowings portfolio for financial reporting. Review correctness and soundness of market data and valuation inputs. Analyze mark-to-market changes and relate them to market factor changes. Investigate valuation issues and troubleshoot system problems with vendor or system support. Create required market data and valuation reports for validation. Create the trade file for submission to the external collateral manager.
• Collateral Management Operations and Counterparty Credit Risk Reporting: Provide counterparty derivative valuations to the collateral manager. Prepare end of day position, collateral held, exposure summary, cash flow report, swaps log, and other collateral monitoring and counterparty exposure reports. Identify margin call disputes and prepare dispute calculators, with comparison and reconciliation of ADB's derivative valuations with that of the counterparties. Coordinate with the external collateral manager and counterparties for resolution of collateral management related issues. Prepare monthly calculations of interest due to ADB and to counterparties on cash collateral. Monitor counterparty exposures against limits and report compliance breaches.
• Trade Affirmation and System Set up: Check that all trade details are affirmed with counterparties, consistent with the terms of the swap confirmations and reflected in the valuation systems. Review that trades are correctly set up in the system and that resulting day-one valuations of swap-bond hedges are consistent. Support the preparation and checking of swap confirmations for approval. Input trade details for exotic trades in the system (for those not included in the trade interface).
• Organizational Resiliency: Maintain an organizational resiliency (OR) process that addresses the division's critical activities. Set up process redundancies and back-up mechanisms whenever possible. Maintain close coordination with the ADB Headquarters (ADB HQ) team to synchronize daily and monthly activities. Manage resources to ensure stable and efficient operations. Ensure continued operations during unforeseen events and business disruptions. Be prepared to take action and address any operational disruptions affecting ADB HQ. Participate in OR testing, BCP drills, tabletop exercises and other related activities. Perform other tasks that may be assigned from time to time to manage workforce resources, strengthen contingency plans, and improve organizational operations.

Required Qualifications:
To be considered for the position of Risk Management Analyst, candidates must possess a Bachelor's degree in accounting, finance, business administration, or other relevant fields. Additionally, candidates should have at least 5 years of experience in derivatives valuation, collateral management operations, and counterparty risk management, preferably with a major bank or international financial institution. Proficiency in software for document processing, data analysis, presentations, and financial modeling is essential, including familiarity with tools used in ADB and similar institutions. A solid understanding of basic financial concepts is required, along with excellent English speaking and writing skills. Candidates should demonstrate the ability to collaborate and build relationships within a diverse environment, analyze complex problems, develop creative solutions, and exhibit project management expertise. The ability to manage tasks and deliver quality results is also crucial.

Educational Background:
Candidates must hold a Bachelor's degree in a relevant field such as accounting, finance, or business administration. This educational background is essential to ensure that candidates have the foundational knowledge necessary for the role, particularly in understanding financial concepts and practices that are critical to risk management and valuation processes.

Experience:
The position requires a minimum of 5 years of relevant experience in derivatives valuation, collateral management operations, and counterparty risk management. This experience should ideally be gained in a major bank or international financial institution, where candidates would have developed the necessary skills and expertise to perform the duties associated with the Risk Management Analyst role effectively.

Languages:
Proficiency in English is mandatory for this position, as excellent speaking and writing skills are essential for effective communication within the organization and with external stakeholders. While English is the primary language required, knowledge of additional languages may be considered an asset, particularly if they are relevant to the regions in which ADB operates.

Additional Notes:
This position is classified as a local staff position and is open only to nationals and residents of Thailand. It is a fixed-term appointment with the option to renew for an initial period of three years, following the guidelines set forth in Section 3.1 (b) of Administrative Order No. 2.01 (Recruitment and Appointment). It is important to note that this appointment is not convertible to a regular appointment. At the end of the initial period, the appointment may be renewed for a period of up to three years or may not be renewed, with no limit on the number of renewals. The position is open to both internal and external applicants. ADB offers competitive compensation and a comprehensive benefits package, which includes paid leave (including parental leave), medical and health benefits, life and other insurance plans, staff development opportunities, a retirement plan, and housing and education allowances if applicable.