Senior Model Risk Management Officer

Overview

Asian Development Bank (ADB) is an international development finance institution headquartered in Manila, Philippines and is composed of 68 members, 48 of which are from the Asia and Pacific region. ADB is committed to achieving a prosperous, 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 Office of the Head (RMOD) within the Office of Risk Management (ORM). ORM has a broad mandate and ensures that ADB’s Treasury, Sovereign, and Nonsovereign operations are sustainable by safeguarding ADB’s rating, advising Board and Management on risk issues, and implementing and promoting a strong internal risk culture.

To view ADB Organizational Chart, please click here.

Job Purpose

The Senior Model Risk Management Officer (i) implements best practices for model risk governance in ADB; (ii) identifies and manages the ADB model risk inventory; (iii) develops policies, processes and methodologies for model review and validation; (iv) carries out independent model validation, and (v) develops model risk reports and presentations to support ORM, senior management and Board reporting.

The incumbent will report to Director and/or designated International Staff, and may supervise Administrative Staff.

Responsibilities

• Maintains, operates, and assists in developing detailed operations' guidelines for the Model risk Governance Framework (MGF) and model governance structure. Periodically reviews results of models’ performance monitoring and validation, including implementation of remedial actions; provides recommendations to model owners and Model Risk Committee (MRC). • Supervises the process of escalation of model review and validation findings to the MRC. • Prepares updates, supporting materials and presentations for MRC, ADB Risk Committee, senior management, and the Board. • Monitors ADB´s model inventory. Assists in establishing requirements specific to the model inventory to support annual attestations across ADB. • Reviews functionalities of existing, new, and retiring models with an objective to avoid unintentional model duplication within the organization. • Provides support in resolving inquiries from model stakeholders and owners on model inventory, model review and validation processes. • Reports operational risk incidents and near misses pertaining to models in line with operational risk reporting requirements. • Reviews proposed policies, processes, and guidelines to ensure their compliance with ADB requirements and best practices. • Maintains knowledge of emerging best practices and standards in model governance, model review and validation. • Provides support in organizing and conducting training to promote an appropriate risk culture in ADB. • Provides support in developing, implementing, and maintaining policies, guidelines and practices on risk and portfolio management. • Provides support to RMOD and other ORM divisions, as needed, for unit projects and tasks. • Assumes ad hoc duties and other forms of assignments, as required.

Qualifications

Relevant Experience & Requirements

• Bachelor’s degree in computer science, mathematics, engineering, finance, economics, statistics, or related field, preferably with Master’s degree or equivalent. • At least 8 years of relevant experience in a similar setting e.g. international financial institution, international bank, or other similar institution; and at least 4 years of supervisory experience. • Good model development and validation experience. • Working knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (economic capital, regulatory capital) and stress testing models, pricing, and valuation models etc. • Good knowledge of statistical analysis techniques pertaining to risk modeling, particularly in wholesale credit risk, market risk and operational risk modeling. • Demonstrated project management and execution skills, including the ability to effectively drive complex, multifaceted initiatives to conclusion within demanding timeframes. • Ability to convey complex concepts and outcomes to non-subject matter experts. • Strong English communication skills, including public speaking and presentation experience. Effective time management to efficiently deliver concurrent projects with competing priorities. • Ability to collaboratively work with model owner/sponsor counterparts. • Please refer to the link for ADB Competency Framework for National Staff Level 3.

General Considerations

The selected candidate, if new to ADB, 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.