Quantitative Risk 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

The Quantitative Risk Officer supports the division in tasks requiring quantitative skills and/or involving finance theory issues. These tasks are focused on model performance assessments, stress testing, and quantitative regulatory requirements that help ensure sound risk management monitoring and compliance with capital requirements.

How will you contribute:

• Together with the CRED Head, implements the Bank’s Model Risk Management Framework based on its approved scope and effectivity, ensuring the adequacy and accuracy of the conceptual framework, methodology, and data gathering requirements of risk models/ measures for a more quantitative understanding of risk.
• Analyzes the risk models/measures for risks that the Bank is exposed to on an on-going basis; assess the assumptions, sufficiency and effectiveness of risk models/measures, and introduces improvements to the same when needed. This includes the accomplishment of Loan Portfolio Stress Testing, Climate Risk Stress Testing, Other stress testing/risk assessment exercises under the ICAAP and Recovery Plan (RP)
• Assesses the performance of risk models, including Market VaR Backtesting (including Trust Portfolio), Interest Rate Risk in the Banking Book (IRRBB) Behavioral Models such as (Non-maturing Deposit (NMD), Time Deposit Redemption Rate (TDRR), Loan Rollover Ratios), Credit Rating Model Performance Review, Probability of Default Backtesting
• Assists the team in developing and maintaining Model Validation-related Framework as may be required by the BSP
• Maintains updated documentation of all results of quantitative analyses and assessments.
• Provides support for the Credit Policy & Asset Quality Management Segment and Sustainable Finance Division in computing the Capital Adequacy ratios in line with ICAAP and RP stress tests, Expected loss (EL) and economic capital (EC) as a requirement for the Risk Adjusted Profitability Measurement (RAPM), Climate risk analysis quantitative requirements, Independent Credit Review quantitative metrics
• Provides subject matter support/advice/consultancy service to risk units of RCBC and its subsidiaries on matters requiring mathematical calculations and modeling.

What will make you successful:

• Working knowledge in research methodologies
• Resourceful in obtaining complex methods and approaches useful for valuations, and mathematical and financial analysis for complete understanding of complex products