Senior Risk Officer / Head of Quantitative Analytics, Modelling and Programming

Ref. Number: 21087

Department: Risk Management Department

Job Type: Global Recruitment

Posting Date: September 16th, 2021

Closing Date: October 7th, 2021

Senior Risk Officer / Head of Quantitative Analytics, Modelling and Programming

The Asian Infrastructure Investment Bank (AIIB) is a multilateral development bank whose mission is financing the Infrastructure for Tomorrow—infrastructure with sustainability at its core. We began operations in Beijing in January 2016 and have since grown to 103 approved members worldwide. We are capitalized up to USD100 billion and Triple-A-rated by the major international credit rating agencies. Working with partners, AIIB meets clients’ needs by unlocking new capital and investing in infrastructure that is green, technology-enabled and promotes regional connectivity. 

The Senior Risk Officer / Head of Quantitative Analytics, Modelling and Programming is responsible for the methodological framework for the Risk Management Department. They also oversee the IT architecture, ensuring it is fit for purpose, and the generation of risk metrics, particularly for capital adequacy and stress testing. In addition, they serve as the risk manager for Model Risk, reviewing and validating the models used within the Bank.

Specific Responsibilities include but are not limited to: 

• Overseeing the Bank’s capital adequacy analysis through detailed assessment of each risk type into Economic Capital requirements. Conducting comprehensive stress testing of the balance sheet and communicating results internally and to rating agencies.
• Spearheading AIIB’s Risk Appetite Statement processes to capture the Bank’s annual business plan needs, as well as safeguarding the Bank’s capital resources.
• Developing and enhancing the quantitative analytics for the Risk Department, providing expertise in modelling of different risk factors and coordination with stakeholders on model delivery.
• Preparing well written technical documents that serve as manual/guidelines for the model/process and methodologies, as well as provide training to model users.
• Steering the IT development for the Risk Department and ensuring the architecture and systems meet the Bank’s analytical needs and business activities.
• Leading model validation and model governance across the Bank, verifying that models are fit for purpose, advising on methodological improvements.

Requirements:

• Minimum of 10-15 years of experience in relevant areas
• Background and experience in modeling credit risk parameters such as PD/EAD/LGD and correlations
• Experience in developing and implementing methodology and model for stress testing various risks
• Strong knowledge of financial instruments and financial risk management principles
• Deep understanding and knowledge of model performance measures
• Proven ability in coding using Python, SQL, Visual Basic, R, Java, C++, etc.
• Experience in risk management or quant group in a financial institution, or regulator 
• Ability to produce high quality technical documentation
• Self-starter and fast learner, with an innovative and creative mindset
• Independent thinker and strategic risk-taker
• Master's degree or equivalent in quantitative disciplines such as Statistics, Mathematics, Finance, Engineering, Physics, Economics or related field.

AIIB is committed to diversity, transparency, and inclusion. We believe our strength comes from having a team with the right diverse skills, experiences and abilities selected through a merit-based competitive process. We actively encourage applications from people from both within and outside AIIB members, regardless of nationality, religion, gender, race, disability, or sexual orientation.

Join in AIIB’s mission to promote sustainable infrastructure investments and to improve social and economic outcomes in Asia and beyond.

Previous experience and qualifications will determine the grade and job title at which successful applicants will enter AIIB