Market and Liquidity Risk Analyst

Assists the Market and Liquidity Risk Department Head in the identification, monitoring, measuring and controlling of market risks, interest rate risk and liquidity risks to ensure that exposure are within the approved limits and risk parameters.

Major Responsibilities:

Computes the Value-at-Risk (VaR) of the Bank's HFT and AFS portfolio to measure the potential market loss in a normal market environment. Performed daily.

Computes usage of Management Action Trigger and month-to-date and year-to-date Profit and Loss figures for trading and investment activities by using current market rates and prices to determine impact to the capital position of the Bank and prevent the Bank from further losses. Performed on a daily basis.

Performs Scenario Analysis for Php and USD bonds by applying assumed increase in market interest rates to capture the impact of extreme or beyond normal events. Performed daily.

Performs backtesting by applying current market rates to the previous day bond portfolio. This is to validate the effectiveness of VaR model. Performed on a daily basis.

Coordinate with Treasury and Accounting in reviewing and reconciling differences in GL Balances. This is to ensure accuracy of entries in the Banking Book as well as reports being sent to different units of the Bank. Performed daily.