1.4 The primary objective of this assignment is to strengthen the Bank’s market risk management framework by developing actionable, forward-looking analytics tools (including Excel-based models) for the banking and fixed-income portfolios. These tools will facilitate the assessment of market risk factors changes in the Bank’s financial performance.
1.5 The Bank's risk management department (PGRF.3) seeks to hire a consultant to lead this project. The consultant will be responsible for managing all aspects of the project on behalf of the division.
B. Scope of work
The consultant will be responsible for the following:
2.1 Conduct a comprehensive review of the Bank’s current market risk management framework, reporting processes, methodologies assessment (VaR, Stressed VaR, Expected Shortfall, sensitivity analysis etc..) and data sources within the Bank’s banking book and fixed-income portfolios. Identify areas for improvement in terms of accuracy, completeness, and actionable insight, ensuring alignment with international best practice.
2.2 Propose and assist in implementing enhanced methodologies for measuring and reporting on key market risk metrics relevant to the banking book and fixed-income portfolios. This should include, but not be limited to, the impact of market risk factors on the loan portfolio, basis risk (e.g., futures basis and bond basis), and yield curve risks (e.g., parallel shifts, twists, shifts in key rates and butterflies).
2.3 Develop and implement actionable and forward-looking analytics specifically tailored to the bank's banking and fixed-income portfolios, such as detailed basis risk analysis and repricing gap analysis.
2.4 Design and implement specific stress tests scenario that assess the impact of interest rate risk on the banking book and fixed-income portfolio (trading and Held-To-Maturity portfolios) and the Bank’s net income.
2.5 Develop and implement an excel based tool to run the above analytics on a regular and ad hoc basis.
2.6 Assist the Risk team in finding adequate methodologies to cascade down the high-level treasury activities risk limits into portfolio level sub-limits.
C. Deliverables Expected
In the course of its engagement, the Consultant is expected to deliver the following:
3.1 Inception report outlining the detailed work plan, key milestones, and initial assessment of current market risk management framework, reporting and processes.
3.2 Proposal for enhanced market risk management methodologies and reporting framework, including proposed quantitative tools.
3.3 Final comprehensive report detailing all methodologies developed, tools implemented, findings, recommendations for Market risk methodologies enhancements and the creation risk sub-limits, and a roadmap for continuous improvement.
D. Duration and Timetable for the Assignment
The assignment is for 6 months
E. Bank Contribution and Institutional Arrangement
the consultant will be working with PGRF 3 team and reporting to the task manager and the division manager
F. Duty Station
Remotely
G. Essential Specialized Skills/Knowledge/Competencies
The interested individual consultant must have a demonstrated track record in market risk management projects gained through years of experience with similar organization or as a consultant that has previously worked on a similar type of project. He / She must possess a strong blend of theoretical knowledge and practical experience in market risk management. Specifically, the following selection criteria will be applied:
4.1 Great educational background (Master), preferably in the fields of finance, banking, risk management or in similar quantitative discipline.
4.2 Professional certifications such as FRM (Financial Risk Manager), CFA (Chartered Financial Analyst), or PRM (Professional Risk Manager) would be desirable.
4.3 A minimum of 7-10 years of progressive experience in market risk management within a financial institution (bank, asset manager, or similar).
4.4 Demonstrated expertise in interest rate risk management for banking and fixed income.
4.5 Demonstrated expertise in fixed-income derivatives (futures, swaps, options) and their application in hedging strategies.
4.6 Strong understanding of interest rate risk in the banking book (IRRBB) and credit spread risk in the banking book (CSRBB) regulations and best practices.
4.7 Experience with P&L attribution and performance analysis for fixed-income portfolios.
4.8 Familiarity with market data providers (e.g., Bloomberg, Refinitiv) and risk management systems (e.g., Murex, Calypso, Summit, or similar).
4.9 Excellent client-facing and internal communication skills.
4.10 Excellent written and verbal communication skills.
4.11 Solid organizational skills, including attention to detail and multi-tasking skills.
H. Supervisor
Iyala Jean - Philippe
Consultancy Input Days
130.00
Qualifications
Qualification
Assessment
Regular Consultant
Less than 32 years old at the time of signing the contract and during contract execution
