Quantitative Risk Officer

4 weeks ago

Taguig, Philippines RCBC Full time

Job Summary

The Quantitative Risk Officer supports the Chief Sustainability Officer in tasks requiring quantitative skills and/or involving finance theory issues. These tasks are focused on model performance assessments, stress testing, and quantitative regulatory requirements that help ensure sound risk management monitoring and compliance with capital requirements.

How will you contribute
  • Together with the PAD Head, implements the Bank’s Model Risk Management Framework based on its approved scope and effectivity, ensuring the adequacy and accuracy of the conceptual framework, methodology, and data gathering requirements of risk models/ measures for a more quantitative understanding of risk.
  • Analyzes the risk models/measures for risks that the Bank is exposed to on an on-going basis; assess the assumptions, sufficiency and effectiveness of risk models/measures, and introduces improvements to the same when needed.
  • Assesses the performance of risk models, including Market VaR Backtesting (including Trust Portfolio), Interest Rate Risk in the Banking Book (IRRBB), Credit Rating Model Performance Review, and Probability of Default Backtesting
  • Assists the PAD Head and the CSO in developing and maintaining Model Validation-related Framework as may be required by the BSP.
  • Maintains updated documentation of all results of quantitative analyses and assessments.
  • Provides support for the Portfolio Analytics Department in computing the following: Capital Adequacy ratios in line with ICAAP and RP stress tests, Expected loss (EL) and economic capital (EC) as a requirement for the Risk Adjusted Profitability Measurement (RAPM), Climate risk analysis quantitative requirements, Independent Credit Review quantitative metrics
  • Provides subject matter support/advice/consultancy service to risk units of RCBC and its subsidiaries on matters requiring mathematical calculations and modeling.
What will make you successful
  • Degree in quantitative discipline (statistics, mathematics, economics, engineering)
  • Must have experience and knowledge in research methodologies
  • Resourceful in obtaining complex methods and approaches useful for valuations, and mathematical and financial analysis for complete understanding of complex products
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