Risk Management Officer

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**Reference Number**
- 250246

**Position Level**
- TL5

**Department**
- Office of Risk Management

**Division**
- Treasury and Liquidity Risk Division

**Location**
- Thailand Resident Mission

**Date Posted**
- Thursday, April 10, 2025

**Closing Date**
- Wednesday, April 23, 2025 11:59 p.m. (2359 Manila Time, 0800 GMT)

**Join Our Mission to Foster Prosperity in Asia**

Are you ready to make a lasting impact on the future of Asia and be a catalyst for positive change? We are thrilled to offer a unique opportunity to become an important part of the prestigious Asian Development Bank (ADB). At ADB, our mission is simple yet powerful: to alleviate poverty and promote sustainable development in the Asia-Pacific region.

**Organizational Setting and Reporting Relationship**

While the position of Risk Management Officer resides with the Treasury and Liquidity Risk Division (RMTL) within the Office of Risk Management (ORM), you will be strategically assigned to the Thailand Resident Mission (TRM) based in Bangkok, Thailand.

You will report to designated International Staff and Senior Officer.

**Your Role**

As a Risk Management Officer, you will validate daily end-of-day valuations of ADB's swap portfolio, including market data verification, analysis of mark-to-market changes, and review of relevant reports. On a monthly basis, the valuations of the swaps and borrowings portfolios are analyzed and validated for purposes of financial reporting. You will verify collateral balances, review counterparty exposure reports, analyze margin call disputes, and collaborate with the external collateral manager and custodians to resolve operational issues. You will review affirmed trades with counterparties and validate 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.

**You will**:
A. Derivatives Valuation
- Validate daily mark-to-market (MTM) valuation of ADB's derivatives portfolio for collateral management.
- Validate monthly valuation of the derivatives and borrowings portfolio for financial reporting.
- Review correctness and soundness of market data and valuation inputs.
- Ensure that MTM changes are consistent with movements in market factors.
- Facilitate resolution of valuation issues and system problems with vendor or system support.
- Review market data and valuation reports. Ensure accuracy and consistency of data results across reports.
- Investigate changes in MTM and perform attribution analysis.
- Implement internal controls to ensure the integrity of data used for reporting fair market values. Conduct requisite checks to ensure correctness of system setup, market data capture, data mapping, spreadsheet links, functions and formula.

B. Collateral Management Operations and Counterparty Credit Risk Reporting
- Verify accuracy and completeness of counterparty derivative valuations provided to the collateral manager. Validate end of day position, collateral held, exposure summary, cash flow report, swaps log, and other collateral monitoring and counterparty exposure reports.
- Review margin call disputes and analyze dispute calculations, with comparison and reconciliation of ADB's derivative valuations with that of the counterparties.
- Review valuation differences with counterparties that exceed thresholds and attribute such differences to potential causes. Monitor persistent valuation differences for further investigation.
- Ensure reported counterparty exposures are adequately collateralized by verifying MTM differences and collateral pledges by counterparty. Collaborate with the collateral manager and counterparties to resolve discrepancies in valuation and collateral calculations.
- Coordinate with the external collateral manager and counterparties for resolution of collateral management related issues.
- Check monthly calculations of interest due to ADB and to counterparties on cash collateral. Endorse approval and instruct settlement of required interest receipt or payments.
- Analyze potential future exposures per counterparty and explain the drivers of daily movements in post-margin peak exposures.
- Ensure compliance of counterparty exposures against limits and report breaches.
- Coordinate with the external collateral manager, custodians and counterparties for onboarding new derivative counterparties. Ensure that the collateral manager setup, internal systems, and risk monitoring reports are updated for the new counterparty account.

C. Trade Affirmation and System Set up
- Verify that all trade details are affirmed with counterparties, consistent with the terms of the swap confirmations and reflected in the valuation systems. Coordinate noted discrepancies with the front office for resolution.
- Review that trades are correctly set up in the system and that resulting day-one valuations of swap-bond hedges are consistent. Resolv