Asset Liability Risk Management Officer

Philippine Bank of Communications (PBCOM); Makati; On-site; PHP 700,000 - 1,100,000; Full time

Job summary

The Philippine Bank of Communications (PBCOM) is seeking an Asset Liability Risk Management Officer to support the MRM Team Head in identifying, assessing, monitoring, and controlling liquidity risk and interest rate risk in the banking book.

Duties include weekly treasury risk reports, monthly risk estimations (EaR, EVE, MCO) and stress tests, quarterly benchmarking, and ICAAP/financial disclosure support for liquidity and rate risk.

Qualifications

• Bachelor’s degree in analytics or business-related field.
• 2–5 years of experience in Market Risk, Treasury, or ALM.
• Prefer CFA, FRM or related certifications.
• Analytical and critical thinking; strong written and verbal communication.

Responsibilities

• Weekly treasury risk reports for RBCAR/CET1, liquidity and SBL limits.
• Monthly estimation of EaR, EVE, and MCO; conduct monthly stress tests.
• Quarterly benchmarking of assets, capital, ROE, RBCAR, CET1, NPL.
• Lead reports on Interest Rate Risk and Liquidity Risk to ALCO & ROC.
• Support ICAAP coverage of Interest Rate Risk and Liquidity Risk.
• Assist annual audit of financial disclosures for these risks.

Skills

Analytical thinking

Critical thinking

Communication skills

Education

Bachelor’s degree in analytics or business-related field

Job description

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
• Excellent Written and Oral Communication Skills