Quantitative Risk & Model Validation Officer

RCBC; Philippines; On-site; PHP 900,000 - 1,400,000; Full time

Job summary

RCBC is seeking a Quantitative Risk Officer to strengthen the bank's capacity in quantitative risk assessment, model performance review, and regulatory compliance. You will collaborate with the CRED Head to implement the Model Risk Management Framework, perform stress testing, and support ICAAP/RP related analyses.

The role emphasizes rigorous mathematical evaluation, data gathering, and documentation to ensure sound risk management and capital adequacy reporting.

Qualifications

• Strong foundation in quantitative methods and financial risk concepts.
• Ability to analyze model performance and regulatory requirements with rigor.

Responsibilities

• Implement the Bank’s Model Risk Management Framework under the CRED Head guidance.
• Analyze risk models for accuracy, sufficiency, and improvement opportunities.
• Support stress testing across Loan Portfolios, Climate Risk, and ICAAP/ RP exercises.
• Assess performance of VaR backtesting, IRRBB, and PD backtesting models.
• Maintain documentation of quantitative analyses and model validation activities.

Skills

Quantitative analysis

Risk modeling

Research methodologies

Tools

R

Python

Backtesting

Job description

RCBC is seeking a Quantitative Risk Officer to strengthen the bank's capacity in quantitative risk assessment, model performance review, and regulatory compliance. You will collaborate with the CRED Head to implement the Model Risk Management Framework, perform stress testing, and support ICAAP/RP related analyses.

The role emphasizes rigorous mathematical evaluation, data gathering, and documentation to ensure sound risk management and capital adequacy reporting.