Job Description
Main Activities and Deliverables
The assignments are as follows:
- Libor Transition Project Management: Second Phase (ZAR, EUR)
a) Provide support to project governance activities.
b) Coordinate the work of the project workstreams.
c) Follow up on the implementation status of various activities and ensure deadlines are met.
- Analytics and Curve Construction
a) Assess the market data management in the context of the Libor transition’s new RFR compounded rates, term rates, and new products.
b) Review and validate the curve construction methodology for new RFR projection and discounting curves in Treasury and Risk Management systems.
c) Review systems impacted by the Libor transition with respect to their capacity to manage new benchmarks.
d) Coordinate the technical and functional efforts across all workstreams of the Libor transition.
e) Provide an independent review of valuation models and calibration methodology in the context of the new reference rates.
- Quantitative Analysis and Product Validation
a) Use advanced quantitative skills to validate financial models and products.
b) Ensure accurate pricing and risk assessment through the application of sophisticated pricing models such as HW1F-BS, HW2F, Heston, and Stochastic Local Volatility.
c) Assist in the revision of fallback language for financial contracts.
d) Assist in the amendment of financial contracts.
e) Provide support for the revision of the characteristics of Credit Support Annex (CSA) and ISDA agreements.
- Upgrade of Systems and Processes
a) Provide support for upgrading various systems in the Bank to support the new reference rates.
b) Conduct User Acceptance Testing (UAT) and validate new developments in systems.
c) Perform quantitative assessments of the impact of the transition to new reference rates.
d) Review and advise on new market data sources.
e) Lead the integration and management of key Treasury and financial systems (e.g., Numerix, Summit, Bloomberg), ensuring seamless operation and alignment with departmental goals.
- User Manual and Report Specifications
a) Review and improve, or develop where applicable, relevant reporting formats/templates.
b) Review existing procedures and write user manuals.
Qualifications and Experience
The consultant should possess strong quantitative analytical skills, with expertise in Numerix and Summit (Finastra).
- Nationality: Must be a national of one of the member countries of the Bank.
- Educational Background: A Master’s degree or equivalent in Mathematics, Finance, or a related quantitative field.
- Professional Experience: At least ten years of relevant experience, with a proven track record in financial systems management, quantitative analysis, and project leadership.
- Technical Skills:
- Expertise in Numerix, Summit, Bloomberg, and other relevant financial systems.
- Proficient in programming languages (C++, Python/R, SQL) and Excel (VBA) for financial modeling.
- Structured Products and Pricing Models: Deep understanding of structured financial products and proficiency in employing advanced pricing models for accurate valuation and risk assessment.
- Regulatory Knowledge: Comprehensive knowledge of the financial regulatory landscape and its impact on financial systems and products. Experience with regulatory reporting and compliance strategies.
- Communication and Collaboration:
- Strong communication skills, with the ability to lead multidisciplinary teams and collaborate effectively across departments.
- Proficiency in English and/or French is required, with a working knowledge of the other language.
- Cultural and Organizational Sensitivity: Experience working in multicultural environments and an understanding of the social and economic development context in Africa is highly desirable.
How to Apply
Qualified candidates are invited to submit their resume and cover letter, detailing their experience and qualifications in relation to the responsibilities and requirements outlined in this job description. Applications should be sent to:
This position offers a unique opportunity to contribute to the strategic direction and operational excellence of AfDB’s Treasury Risk Division. We are looking for a visionary leader with a strong quantitative background and a deep understanding of financial systems and regulatory compliance. If you are driven by innovation and have a passion for quantitative finance and strategic development, we encourage you to apply.
Deadline: 02-May-2025
