Asset Liability Risk Management Officer

5 days ago


Makati City, National Capital Region, Philippines Philippine Bank of Communications (PBCOM) Full time

Job Summary

  • The Asset Liability Risk Management Officer assists the MRM Team Head in identifying, assessing, monitoring, and controlling liquidity risk and interest rate risk in the banking book.
  • Recommends liquidity risk and interest rate risk in the banking book management policies.
  • Supports the MRM Head in the completion and delivery of the ICAAP document, mostly covering risks related to interest rate and liquidity.

Duties and Responsibilities

  • Weekly completion of the treasury risk reports presented to ALCO which include RBCAR/CET1 limit compliance, unimpaired capital and SBL position, compliance to internal and external liquidity risk limits.
  • Perform monthly estimation of the Bank's Interest Rate Risk (EaR and EVE) and liquidity risk (MCO). Perform monthly stress testing of the Bank's EaR, EVE, and MCO profile.
  • Perform quarterly industry benchmarking of key performance indicators (i.e. Asset Size, Capital, ROE, RBCAR, CET1, NPL).
  • Lead the completion of reports covering Interest Rate Risk and Liquidity Risk profiles to the ALCO & ROC. Support the completion of ICAAP covering Interest Rate Risk and Liquidity Risk.
  • Support the completion of the annual audit of the Financial disclosures covering the Bank's Interest Rate Risk and Liquidity Risk.
  • Support policy review and development for items related to Interest Rate Risk and Liquidity Risk.
  • Serve as the "checker" for the outputs of the Treasury and Trust Risk Management Officer.

Qualifications

  • Graduate of any business-related course
  • Relevant Certifications is a plus (CFA, FRM, etc.)
  • With experience in performing VaR calculations, re-pricing gap, and maturity gap
  • Proficient in MS Office applications
  • With excellent written and oral communication skills
  • Strong analytical and critical thinking skills
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