Management Analyst

As a Risk Management Analyst, you will create daily end-of-day valuations of ADB’s swap portfolio, including market data validation, analysis of mark-to-market changes, and generation of relevant reports. On a monthly basis, the valuations of the swaps and borrowings portfolios are generated and checked for purposes of financial reporting. You will help monitor collateral balances, preparing counterparty exposure reports, analyzing margin call disputes, and collaborating with the external collateral manager and custodians. You will affirm trades with counterparties and set up trade details in the valuation system for exotic derivatives. You will contribute to organizational resiliency efforts by implementing back-up mechanisms and established business contingency plans.

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.

Qualifications:

You will need:

• Bachelor’s degree in accounting, finance, business administration or other relevant fields.
• At least 5 years of experience in derivatives valuation, collateral management operations and counterparty risk management with a major bank or international financial institution.
• Proficiency in software for document processing, data analysis, presentations, and financial modeling, including tools used in ADB and similar institutions.
• Understanding of basic financial concepts.
• Excellent English speaking and writing skills.
• To collaborate and build relationships within a diverse environment.
• To analyze complex problems and develop creative solutions
• To demonstrate project management expertise.
• To manage tasks and delivery quality results

Source: https://www.adb.org/careers/250245