Asset Liability Risk Management Officer

7 days ago


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

4 days ago Be among the first 25 applicants

Direct message the job poster from Philippine Bank of Communications (PBCOM)

HR Officer - Recruitment | Philippine Bank of Communications (PBCOM)

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

  • Bachelor's degree in any analytical or business related course. Relevant certifications (e.g. CFA, FRM, etc.) are a plus.
  • 1-3 years of cumulative experience in Market Risk Management, Treasury, and Asset Liability Management.
  • Preferably with experience in performing VaR calculations, Re-pricing Gap, and Maturity Gap.
  • Analytical and Critical Thinking.
  • Excellent Written and Oral Communication Skills.
Seniority level

Not Applicable

Employment type

Full-time

Job function

Finance and Sales

Industries

Banking

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