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 Consulting Firms to indicate their interest in the following Assignment : Calibration of the credit correlation structure.

The services to be provided under the Assignment include the provision of Credit correlation matrix analysis and should encompass but not limitative to the following :

  • Examine the appropriateness of the GCORR correlation matrix currently used for the economic capital computation ;
  • Update the correlation matrix with the appropriate granularity. The correlation matrix is expected to cover development related exposures as well as treasury investments. It is also expected to cover sovereign as well as non-sovereign exposures (Corporates and Financial Institutions) across the following sectors: Financials, Energy, Industrials, Utilities, Materials and Telecommunication Services ;
  • Update the R-squared estimates and the mapping between obligors and systematic risk factors with the appropriate weights ;
  • Provide the impact analysis of the updated correlation matrix on the Bank’s economic capital ;
  • Suggest further analytical refinements to the current approach.

The entire project will span over approximately 3 months. For the avoidance of doubt, The Consulting firm will respect the national holiday and local holiday practices where the Services are being performed.

  1. African Development Bank Group invites Consulting Firms to indicate their interest in providing the above-described services. Interested eligible Consulting Firms or associations of Consulting Firms 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.) ;
  2. 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 Consulting firms, available on the Bank Website at http://www.afdb.org. Please, note that interest expressed by a Consulting Firm does not imply any obligation on the part of the Bank to include it in the shortlist ;
  3. The estimated duration of services is 3 months and the estimated starting date is November 16, 2020 ;
  4. 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 Friday 16th October 2020 at 00 hrs., Abidjan time and specifically mentioning “Calibration of the credit correlation structure” in the title.

For the attention of : CORRELATION TEAM

Risk Management Department, PGRF

E-mail : [email protected]