Risk Management Officer

4 days ago


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

We are seeking an experienced Asset Liability Risk Management Officer to join our team. The successful candidate will assist the MRM Team Head in managing liquidity risk and interest rate risk in the banking book.

  • Assists in developing and implementing policies to manage liquidity risk and interest rate risk in the banking book.
  • Supports the MRM Head in completing and delivering the ICAAP document, focusing on risks related to interest rates and liquidity.
  • Produces weekly treasury risk reports for presentation to ALCO, including RBCAR/CET1 limit compliance, unimpaired capital, and SBL position, as well as adherence to internal and external liquidity risk limits.
  • Estimates monthly the Bank's Interest Rate Risk (EaR and EVE) and liquidity risk (MCO), and performs monthly stress testing of the Bank's EaR, EVE, and MCO profile.
  • Conducts quarterly industry benchmarking of key performance indicators such as Asset Size, Capital, ROE, RBCAR, CET1, and NPL.
  • Led the completion of reports covering Interest Rate Risk and Liquidity Risk profiles for ALCO & ROC, and supported the completion of ICAAP covering Interest Rate Risk and Liquidity Risk.
  • Supported the annual audit of Financial disclosures covering the Bank's Interest Rate Risk and Liquidity Risk.
  • Reviewed and developed policies related to Interest Rate Risk and Liquidity Risk.
  • Served as the checker for the outputs of the Treasury and Trust Risk Management Officer.

Requirements:

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


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