Asset Liability Risk Management Officer

Philippine Bank of Communications (PBCOM); Makati; On-site; PHP 1,200,000 - 2,400,000; Full time

Job summary

Philippine Bank of Communications (PBCOM) seeks an Asset Liability Risk Management Officer to support the MRM Team Head in identifying, assessing, monitoring, and controlling liquidity and interest rate risk in the banking book. You will help complete and deliver ICAAP documents focusing on interest rate and liquidity.

The role involves weekly treasury risk reporting to ALCO, monthly risk estimations and stress testing, and regular benchmarking to drive risk governance.

Qualifications

• Bachelor's degree in analytical or business-related field; certifications (CFA, FRM) are a plus
• 2–5 years of experience in Market Risk Management, Treasury, and Asset Liability Management
• Experience with VaR calculations, Re-pricing Gap, and Maturity Gap is preferred
• Demonstrated analytical and critical thinking; strong written and verbal communication skills

Responsibilities

• Weekly completion of treasury risk reports to ALCO including RBCAR/CET1, unimpaired capital, and liquidity positions.
• Monthly estimation of EaR, EVE, and liquidity risk (MCO); conduct monthly stress testing of EaR, EVE, and MCO.
• Quarterly benchmarking of key metrics (Asset Size, Capital, ROE, RBCAR, CET1, NPL).
• Lead completion of reports covering Interest Rate Risk and Liquidity Risk for ALCO & ROC.
• Support ICAAP completion covering Interest Rate Risk and Liquidity Risk.
• Assist in annual audit of financial disclosures covering Interest Rate Risk and Liquidity Risk.

Skills

Analytical thinking

Critical thinking

Written communication

Oral communication

Education

Bachelor's degree

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