Market & Liquidity Risk Officer

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Position Title: Market & Liquidity Risk Officer

Job Summary:

• Drives the identification, analysis, measurement, and management of market risk, interest rate risk in the banking book (IRRBB), and liquidity risks across Metrobank's balance sheet, trading, and structuring operations. Provides critical support for the selection and execution of investment, balance sheet, and funding strategies. This role involves building robust infrastructure for allocating, monitoring, and reporting risk and performance in alignment with strategic objectives and market developments. Additionally, the role assesses new products and services for potential risks and maintains strict risk control through ongoing monitoring and reporting of compliance limits. Success in this role is measured in the following key outcomes:
• Risk Management Over sight and Mitigation: Monitors and reports market, IRRBB, and liquidity risks; identifies emerging risks; prepares risk analyses and regulatory reports for ALCO, ROC, and BOD; and ensures compliance with established limits
• Regulatory Compliance and Policy Adherence: Assists in developing risk management frameworks, policies, and methodologies; conducts daily rate checks and investigates discrepancies; and provides insights on modeling results such as prepayment, deposit analysis, and loan balance dynamics.
• Innovative Risk Solutions: Performs quantitative and qualitative risk analyses on portfolio performance, trading strategies, market data, and stress scenarios; and participates in projects impacting risk management metrics, methodologies, and systems.

Role Exposure:

Risk Management Framework:

• Participates in the preparation, review, or update of product manuals that accomplish risk identification objective, including valuation and hedging specifics, in close collaboration with risk-takers, lines managers and operations.

Risk Assessment and Monitoring:

• Assists in the development, review, update of risk measurement models such as Value-at-Risk (VAR), MCO (Maximum Cumulative Outflow), EAR (Earnings at Risk), EVE (Economic Value of Equity), stress testing, backtesting, income sensitivity analysis and dynamic financial analysis models.

Reporting and Analytics:

• Synthesizes and analyzes financial information and apply that knowledge to a broad range of financial issues

Regulatory Compliance:

• Ensures continuous monitoring of regulatory changes for market risk and practices.

Business Continuity:

• Engages in BCP activities, including drills and assessments, to proactively ensure the accessibility and operational integrity of daily risk measurement systems.
• Participates in crisis management plan to ensure the division's response aligns with established RTOs.
• Safeguards operational processes, risk management measurement systems and data sources to mitigate losses effectively.

Stakeholder Engagement:

• Communicate risks, issues, hurdles and day-to-day performance related to risk management of the Bank's Treasury and balance sheet portfolios to Chief Risk Officer, Treasury and senior management.
• Interacts with members of the different units within Metrobank responsible for risk-taking, accounting, processing, budgeting and forecasting, and the funds transfer pricing to ensure that risk is properly represented in the Bank's risk aggregation system.
• Performs other related function that may be assigned from time to time.

Additional Responsibilities

• Perform other related duties as assigned to support the overall success of the Bank.

Qualifications:

• Bachelor's Degree in Mathematics, Accounting, Finance, Statistics, Economics, or Physics.
• 3–5 years of related experience, preferably from treasury/trader roles in smaller banks with market risk.
• Experience in monitoring and managing market risk exposures, analyzing interest rate, foreign exchange, and liquidity risks, and ensuring compliance with internal risk limits and regulatory requirements.
• Knowledge of treasury products and financial markets, and familiarity with risk measurement tools and reporting frameworks are essential.

Other Details:

Unit: Risk Management Group / Market & Liquidity Risk Division / Portfolio Market Risk Department

Location: Metrobank Center, BGC, Taguig City