Balance Sheet Risk Officer (Asst Mgr / Mgr)

General Description:

The Balance Sheet Risk Officer supports the second-line measurement, monitoring, and reporting of interest rate risk in the banking book (IRRBB) and balance-sheet / liquidity risk. The role produces Economic Value of Equity (EVE), Delta Net Interest Income (ΔNII), repricing-gap, and Maximum Cumulative Outflow (MCO) analyses, and assists in the development and validation of IRRBB models.

The role works within the Balance Sheet Risk Department (BSRD, formerly ALRMD), under the Department Head, partnering with Treasury and Finance while preserving second-line independence, and ensures compliance with BSP Circular 1044, BCBS d368, and other applicable BSP and Basel requirements.

Overall Scope of Work:

1.IRRBB Measurement & Reporting

·    Prepares EVE, ΔNII, and repricing-gap reports; supports the standardized EVE computation; prepares the succeeding IRRBB reports.

·    Supports review and calibration of behavioral assumptions (non-maturity deposits, prepayments, embedded options).

2.Balance-Sheet & Liquidity Reporting

·    Prepares the MCO reports; computes projected cash inflows and outflows from the balance sheet as of cut-off date; assists in reviewing the assumptions used.

3.Model Development & Validation Support

·    Assists in the development and subsequent validation of IRRBB models (e.g., EVE) and in back-testing relevant assumptions and models.

4.Stress Testing & Scenario Analysis

·    Assists in designing and running IRRBB and liquidity stress tests and scenario analyses to assess risks not captured by purely quantitative models.

5.Methodology, Policy & Regulatory Support

·    Assists in formulating and updating ALM, IRRBB, and liquidity policies aligned with applicable BSP circulars; supports continuous development of the measurement system; maintains documentation and audit trails.

6.Regulatory & Governance Support

·    Prepares IRRBB and balance-sheet risk inputs for ALCO, RMOC, Board, and BSP reports; works with Compliance and Audit to monitor regularization of BSP, Internal Audit, and ICT findings.

7.Other

·    Assists in identifying, monitoring, and measuring other risks (credit, operational, regulatory, legal) as they relate to balance-sheet risk; performs other duties as assigned.

Competencies & Skills Required:

Minimum Qualifications

·    Bachelor's degree in Finance, Economics, Mathematics, Statistics, Accountancy, Engineering, Information Technology, or a related quantitative field; computer literacy required.

·    At least two (2) years of relevant experience in risk management or a closely related field (treasury, finance, or quantitative analysis).

·    Working knowledge of IRRBB and liquidity risk concepts (EVE, ΔNII, MCO) and BSP Circular 1044 / BCBS d368.

Core / Technical Competencies

·    IRRBB measurement (EVE, ΔNII, repricing gap) and balance-sheet / liquidity reporting (MCO).

·    Behavioral assumptions, model development and validation support, back-testing, and stress testing.

·    BSP Circular 1044, BCBS d368, and the Bank's ALM policies and practices.

·    Quantitative and analytical skills; strong attention to detail and data integrity.

Behavioral Competencies

·    Clear written and verbal communication, including governance- and regulator-facing reporting.

·    Accuracy, consistency, and confidentiality; sound independent judgment and integrity.

·    Stakeholder coordination with tact and discretion; teamwork.

Preferred / Plus Skills

·    Progress toward FRM, CFA, PRM, or CTP.

·    Hands-on experience with EVE / ΔNII / repricing-gap and MCO reporting; advanced Excel / VBA, Power BI, SQL.