Humanitaire (ONG, Associations, ...), Projet/programme de développement
EOI - Recruitment of a Senior Quantitative Risk Analyst Consultant - FIFM
Type de consultant: Individual Consultant
Lieu de la mission: Abidjan, Côte d'Ivoire
Date de publication: 30-oct-2025
Date de clôture: 10-nov-2025
Domaine: Other
The African Development Bank Group (AfDB) is a regional, multilateral development, finance institution established in 1963 with a mandate to further the economic development and social progress of African countries, individually and collectively. The Bank has two official languages: English and French. It co-operates with a large network of international development partners.
The Vice Presidency for Finance (FIVP) oversees the financial management of the Bank Group. This encompasses the Bank Group’s treasury activities including borrowings from the capital markets and investment activities; controllership functions including financial reporting and loan administration; strategic resource mobilization and the strengthening of the non-statutory financial resources and instruments; the overall asset/liability management for the Bank Group.
The overall objective of the Financial Management Department (FIFM) is to safeguard and improve the Bank Group’s risk bearing capacity while looking to optimize efficiency to benefit clients, shareholders, and staff.
The Treasury Risk Management Division (FIFM.2) is responsible for managing treasury risk and overseeing activities related to treasury investments, borrowing decisions, and hedging mechanisms. The division’s objectives include identifying, measuring, monitoring, and mitigating market and credit risks, ensuring timely reporting of treasury activities, establishing a control framework to comply with bank policies and international financial reporting standards.
The primary objective of this assignment is to engage a Senior Quantitative Risk Analyst who will enhance the current market risk Value at Risk (VaR) framework by integrating a decay factor into the historical Profit and Loss (PnL) calculations utilized in the historical full revaluation method. In addition, the consultant will work on enhancing the performance calculation of the investment portfolio by incorporating products such as FX swaps and gold swaps. The consultant will also be responsible for setting the PnL attribution.
Furthermore, the consultant will be instrumental in curve construction modeling and will provide expert assistance with our Numerix Oneview integration with the Summit project. They will also support our Numerix Oneview XVA calculation project.
The Senior Quantitative Analyst will be tasked with accurately pricing structured products within Numerix and conducting comprehensive XVA calculations. This role encompasses modeling a wide range of financial structured products, including interest rate products (such as Zero Callable, Range Accrual, and Cancellable Swaps), autocallable products, Power Reverse Dual Currency (PRDC) instruments, capital protected products, and hybrid products (including Basket Options and Range Accruals).
The successful candidate will significantly contribute to the project's success by ensuring precise pricing, thorough risk assessment, and efficient outcomes, all while operating under the guidance of the Division Manager.
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