Associate Risk Management Analyst at ADB, Manila, Philippines

Deadline: 31 May 2023

Asian Development Bank (ADB) is currently seeking applications from eligible applicants for the post of Associate Risk Management Analyst in Manila, Philippines. The duration of this post is 3 years.

The ADB aims for an Asia and Pacific free from poverty.

Key Jobs Responsibilities

The Associate Risk Management Analyst will perform the following functions-

• 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.

Eligibility Criteria

Applicants must have:

• 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.

How to Apply

Applicants must submit their applications through online process.

For more information, visit ADB.