Position Level:IS 4
Division:Treasury Quantitative Analysis Unit
Location:Asian Development Bank Headquarters
Date Posted:Tuesday, February 11, 2020
Closing Date:Friday, May 29, 2020 11:59 p.m. (2359 Manila Time, 0800 GMT)
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).
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 Asia and the Pacific region. ADB is committed to achieving aprosperous, 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 Quantitative Analysis Unit within the Treasury Department (TD). TD performs a strategic role in efficiently planning, mobilizing, and managing ADB's finances, with the view of protecting ADB's solid financial standing to enable ADB to deliver on its developmental goals. TD defines ADB's asset and liability management (ALM) policies on liquidity income management, currency management, and loan pricing. TD raises funds from the capital markets and manages ADB's liquidity investment portfolio.
The Treasury Department Quantitative Analysis Unit (TDQA) is the focal point of ADB Treasury Department's quantitative, systems support, and analytical needs. The unit is responsible for: (i) enhancing TD's quantitative and analytical capacity including ALM and financial projection modelling; (ii) sharpening and supporting innovative and structured debt issuances and investments by ADB; and (iii) consolidating and improving TD's information technology and data management capacity to support emerging requirements and innovations by other departments that affect treasury operations.
To view ADB Organizational Chart, please click here.
The Treasury Specialist is responsible for quantitative and analytical support to funding, investments, ALM, and Financial Policy business teams. The functions would include (i) sharpening and supporting innovative and structured debt issuance through pre-deal pricing, derivative related valuation, risks and XVA analysis; (ii) investment performance measurement; (iii) ALM and financial projections modelling; and (iv) technological developments using various mathematical models and computer applications.
The Treasury Specialist will also be required to participate in IT initiatives designed to achieve greater operational efficiency; work within general policies, principles and goals; and work directly with clients.
The incumbent will report to Advisor, TD and Head, Quantitative Analysis Unit and will supervise national and administrative staff.
A. Delivery of Quantitative Strategies to Sharpen and Support Innovative and Structured Debt Issuances and Investments by ADB
Leads the price quantification of funding transactions by analyzing the terms and conditions of complex derivatives.
Analyzes and evaluates structured product and derivatives related risks, valuation, and pricing, including XVA analysis.
Analyzes the terms and conditions of the Credit Support Annex (CSA) and evaluates the impact on derivatives and relevant swap intermediation charges and mitigating factors.
Develops mathematical models and computer applications for the funding and investment teams in TD.
Provides asset performance analytics including strategic asset allocation and benchmark management, i.e., identifying, constructing, testing, and maintaining the benchmarks.
Validates output from the systems and models.
B. Development, Enhancement, and Maintenance of Financial Projection Models
Develops, enhances, and maintains financial projection models for ADB's asset and liability management, ALM risk measurements, income attribution analytics, cost of carry and duration measurement of equity and financial sustainability analysis.
Provides analytical support for new financial products.
Works with the ALM Team to prepare and analyze ALM dashboard reports.
Ensures timely and accurate reporting generation in terms of ALM and financial planning operations.
Assists in monitoring, measuring, and reporting of funding operations-related liability management.
C. IT Systems Design, Development, and Implementation
Takes a lead role in the design, development, and implementation of new systems and applications, ensuring at all times that TD's requirements are adequately and satisfactorily met.
Provides best practice approaches in developing quantitative strategic frameworks for financial projection modelling and derivatives financing and valuation.
Supports the development and integration of interconnected systems and models and reporting tools as well as data planning within treasury, accounting, and risk management departments.
Fully utilizes internal analytical tools for better decision making in coordination with business teams.
Optimizes the sourcing and coverage of market data from external providers such as Bloomberg and Reuters to support the operations including pricing, portfolio valuation, and risk analysis. Ensures the integrity and quality of the reference market data.
Designs and runs model validation tests covering data, assumptions, and algorithm. Investigate issues and propose enhancements.
Develops hands-on knowledge of treasury core applications (such as Finastra Fusion Capital Summit, Numerix, and other similar vendor solutions) at functional and technical levels.
Keeps abreast of financial and technological developments and global trends and contributes to the new or innovative approaches in the use of Information Technology (IT) applications to streamline business processes for efficiency and strengthen internal controls.
D. Staff Management
Provides leadership, mentoring, and support to reporting staff.
Supervises the performance of reporting staff, and provides clear direction, regular monitoring and feedback on performance.
Ensures the ongoing learning and development of reporting staff.
Relevant Experience & Requirements
Master's degree or equivalent in computer science, mathematics, banking, finance, business administration or related fields; or University degree combined with specialized experience in similar organization/s may be considered in lieu of Master's degree
Minimum of 8 years of relevant professional experience, including international work experience
Strong quantitative skills and experience covering funding, investments, and ALM
IT System Modelling Skills in C++, VB, Python, and Oracle is desirable
Excellent interpersonal and relationship management skills
Excellent oral and written communication skills in English
Please refer to the link for ADB Competency Framework for IS4.
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.
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