Asset Liability Risk Management Officer

Hammerjack Pty Ltd; Philippines; On-site; PHP 900,000 - 1,500,000; Full time

Job summary

Hammerjack Pty Ltd is seeking an Asset Liability Risk Management Officer to join the Market & Asset Liability Risk Management (MRM) team in Makati City. The role supports identifying, measuring, and controlling liquidity and interest rate risk in the banking book, and assists in delivering ICAAP documentation.

Responsibilities include monthly risk estimation, stress testing, and quarterly benchmarking, with a focus on accuracy and regulatory compliance. Onsite work is required.

Qualifications

• Bachelor's degree in analytical or business field.
• 2–5 years of experience in Market Risk Management, Treasury, or ALM.
• Familiarity with VaR, Re-pricing Gap, and Maturity Gap.
• Strong analytical and critical thinking.
• Proficient in MS Office.
• Excellent written and oral communication skills.
• Onsite in Makati City.

Responsibilities

• Weekly completion of treasury risk reports for ALCO, including liquidity and RBCAR/CET1.
• Monthly estimation of EaR, EVE, and liquidity risk; conduct stress testing.
• Quarterly benchmarking of asset size, capital, ROE, RBCAR, CET1, NPL.
• Lead reports on Interest Rate Risk and Liquidity Risk to ALCO & ROC.
• Support ICAAP completion for Interest Rate and Liquidity Risk.
• Assist with annual audit of financial disclosures.

Skills

Analytical thinking

Communication skills

Education

Bachelor's degree in analytical or business field

CFA/FRM certifications

Tools

MS Office

Job description

Job Summary

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
• MS Office Proficiency
• Excellent Written and Oral Communication Skills
• Amenable to work onsite in Makati City