La Banque africaine de développement recrute un Consultant en analyse quantitative

REQUEST FOR EXPRESSIONS OF INTEREST

Individual Consultant

African Development Bank Headquarters-Abidjan (Cote d’Ivoire)

Avenue Joseph Anoma 01 BP. 1387, Abidjan 01 Cote d’Ivoire

 

Title of the Assignment: Quantitative Analyst Consultant

Brief Description: Provide analytical and financial modelling support to the Treasury Risk Division. The Consultant should possess strong quantitative and analytical skills, be well versed in risk management techniques.

Department issuing the request: FIFM

Place of Assignment: HQ, Abidjan, Cote d’Ivoire

Duration of the Assignment: 6-12 months

Tentative Date of Commencement: 3 April 2018

Deadline for Applications: 16 March 2018

Applications to be submitted to: f.a.konan@afdb.org; m.ly@afdb.org; l.coffie@afdb.org

 

TERMS OF REFERENCE FOR HIRING A QUANTITATIVE ANALYST CONSULTANT

DESCRIPTION: The Financial Management Department (FIFM) within the African Development Bank is looking for an individual consultant to provide quantitative analysis services in support of its implementation of a new pricing engine for exotic derivatives products.

The Consultant’s duties will include the following:

  • Structure real-world examples of trades and perform valuation and/or risk analytics tasks using Numerix CrossAsset library and other Numerix Products and tools.
  • Create/Maintain Excel templates based on Numerix Application Engine as Excel Add-in.
  • Design and perform financial validation on models (calibration, pricing, and model greeks) across multiple asset classes.
  • Work as liaison with Numerix project team to analyze product gaps and enhancement requests, draft functional specifications and assist the Project manager in prioritizing objectives.
  • Deploy and manage the appropriate testing framework to meet the testing mandate.
  • Create and execute functional tests plans within the context of each release/delivery.
  • Play an integral role in helping the division to produce and deliver key derivatives valuation reports and ensuring that the calculations required are performed in alignment with best market practices.
  • Any other task agreed with FIFM on an ad-hoc basis.

FIFM invites Individual Consultants to indicate their interest in providing the above-described services. Interested Consultants shall provide information on their qualifications and experience demonstrating their ability to undertake this Assignment (documents, reference to similar services, experience in similar assignments, etc.).

The eligibility criteria, the establishment of a short list and the selection procedure shall be in conformity with the Bank’s procedure for the acquisition of consulting services funded by the Administrative or Capital expenditure. Please, note that interest expressed by a Consultant does not imply any obligation on the part of the Bank to include him/her in the shortlist.

The position will be based in AfDB Headquarters (Abidjan). The duration of services is 6-12 months.
The expected starting date is 3 April 2018.

 

Interested Individual Consultants may obtain further information at the address below during the Bank’s working hours: from 08:00 to 17:00 hours, Abidjan local time.

Expressions of interest must be received by e-mail at the address below no later than 16 March 2018 at 6pm Abidjan local time.

  • f.a.konan@afdb.org; m.ly@afdb.org; l.coffie@afdb.org

 

SELECTION CRITERIA:

  • Minimum of a Master’s Degree or its equivalent in Mathematics, Finance, Computer Science, Physics, Actuarial Science or related field. PhD or Professional certifications (CQF, PRM, FRM) a plus.
  • Be a national of one of the member countries of the Bank;
  • A minimum of 5 years of relevant practical working experience in Quantitative Analysis or Risk function;
  • Good knowledge of derivative pricing models and instruments across interest rate, crosscurrency, inflation, equity, foreign exchange, commodity, and hybrid products.
  • Good knowledge of Counterparty Risk (CVA,DVA,PFE) and/or Market Risk (VaR).
  • Competence in the use of Numerix CrossAsset library, and financial applications like Murex, Misys Summit and Calypso.
  • Ability to communicate and write effectively in English and/or French, with a working knowledge of the other language;
  • Good team worker with excellent analytical, problem solving, time management and communication skills both written and verbal.

 

ESTABLISHMENT OF THE SHORT LIST

A shortlist of three to six individual consultants will be established at the end the request of expressions of interest. The consultants on the shortlist will be judged on the following criteria on the basis of their updated resume. Please note that CVs submitted should not exceed 3 pages.

General qualification 10%

Experience in quantitative analysis 40%

Experience in Numerix CrossAsset Library 30%

Language Proficiency (French + English) 10%

Number of years of experience relevant to the assignment 10%

 

Téléchargez le fichier de l’annonce

 

Partager