Asset Liability Risk Management Officer

Job Summary

The Asset Liability Risk Management Officer assists the Market & Asset Liability Risk Management (MRM) Team Head in identifying, assessing, monitoring, and controlling liquidity risk and interest rate risk in the banking book. He/she supports 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.

Qualifications

• Bachelor's degree in any analytical or business related course. Relevant certifications (e.g. CFA, FRM, etc.) are a plus
• 2-5 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
• MS Office Proficiency
• Excellent Written and Oral Communication Skills
• Amenable to work onsite in Makati City