REQUEST FOR EXPRESSIONS OF INTEREST

AFRICAN DEVELOPMENT BANK

Risk Management Department (PGRF)

Immeuble CCIA Abidjan Plateau Avenue Jean-Paul II – 01 BP 1387 – Abidjan 01 Cote d’Ivoire E-mail : [email protected]

  1. The African Development Bank hereby invites Individual Consultants to indicate their interest in the following Assignment : Implementation of Model Risk Management Framework (MRM). The Bank is seeking to recruit two Senior.

The services to be provided under the should encompass but not limitative to the following :

  • Design and implement the back-testing process and report with detailed key performance indicators and their related threshold for all the models (Credit Risk Parameters, Credit Scoring/rating Models, Market Risk Models, Capital Economic Model, ECL models under IFRS9) used by Risk Management in order to assess on annual basis the performance of these models ;
  • Design and implement a clear guideline with key metric and threshold to be followed for the model peer review or validation process ;
  • Lead the periodic calibration of the Bank’s credit risk parameters :
  1. Probabilities of Defaults, Loss Given Defaults, Expected Credit Losses of the sovereign and non-sovereign portfolios, ECL under IFRS9 models, and Correlation between asset classes ;
  2. Lead the periodic review and validation of non-performing models or those are due to be deeply reviewed ;
  3. Lead the development and upgrading of risk identification and assessment methodologies, including appropriate assessment, monitoring and management tools and systems ;
  4. Support the Risk Management Unit with quantitative analysis to address some complex matters its faces within its risk management mandate.

The entire project will span over approximately 6 months. For the avoidance of doubt, The Consulting firm will respect the national holiday and local holiday practices where the Services are being performed.

Qualifications and Experience Required :

  1. A Minimum of a master’s degree or its university equivalent in Financial Engineering, Risk Management, Mathematics, Statistics, Actuary, Applied Finance or Economics ;
  2. Minimum of ten (10) years of relevant work experience in risk management including experience credit risk, market risk and capital economic modelling ;
  3. Very strong knowledge of credit/market risk models and techniques, capital adequacy requirements, International Financial Reporting Standards (IFRS9) and Basel Accord Standards ;
  4. Excellent organizational, analytical and problem-solving skills. High-level proficiency of data management and demonstrated quantitative analysis and analytical skills ;
  5. Problem solving: Apply business knowledge to the resolution of problems and identify solutions to the benefit of the division and the organization ;
  6. Innovation and Creativity: Search for and produce innovative and creative approaches to activities in order to enhance performance and create added benefits to the Bank and its clients ;
  7. Demonstrated effective coordination skills and an ability to work under pressure in a multicultural environment to complete multiple tasks and meet deadlines ;
  8. Teamwork & Relationships: Work with others to maximize the effectiveness of the team, share the knowledge and workload. Develop strong working relationships with colleagues and contribute to creation of a positive team environment ;
  9. Excellent written and oral skills in English or French with a working knowledge of the other language ;
  10. Must be a citizen of a member country of the African Development Bank.

In addition to the foregoing, the consultant should possess :

  • High level of integrity, moral values, discretion and confidentiality ;
  • Competence in the use of standard IT software (Word, Excel, PowerPoint).
  1. African Development Bank Group invites Individual Consultants to indicate their interest in providing the above-described services. Interested eligible Consultants shall provide information on their qualifications and experience demonstrating their ability to provide the services (documentation, references for similar services, experience in comparable Assignments, availability of qualified staff, etc.) ;
  1. The eligibility criteria, the establishment of a short list and the selection procedure shall be in conformity with the Bank’s Rules and Procedure for the Use of Consultants, available on the Bank Website at http://www.afdb.org. Please, note that interest expressed by a Consultant does not imply any obligation on the part of the Bank to include it in the shortlist ; 
  1. The estimated duration of services is 6 months and the estimated starting date is November 30, 2020 ;
  1. Interested Individual Consultants may obtain further information at the e-mail address below during the Bank’s working hours: from 0800 hrs. to 1200 hrs. and from 1400 hrs. to 1800 hrs., Monday through Friday except for holidays observed by the African Development Bank. E-mail : [email protected] ;
  1. Expressions of interest must be received electronically at the e-mail address below no later than Tuesday 10th November 2020 at 00 hrs., Abidjan time and specifically mentioning “Risk Model Management” in the title ;

For the attention of : CORRELATION TEAM

Risk Management Department, PGRF

E-mail : [email protected]