Strategic Market Risk & Portfolio Lead

City Savings Bank; Pasig; On-site; PHP 900,000 - 1,300,000; Full time

Job summary

City Savings Bank in Metro Manila seeks a Market Risk and Portfolio Officer to monitor, quantify, and control risks from banking and trading books, ensuring exposures stay within risk appetite and Basel guidelines.

The role covers BPV/DV01, duration, convexity, VaR, ES, IRRBB, and NII sensitivity, with collaboration to align liquidity and capital. FRM/PRM and 3–5+ years in risk are preferred.

Qualifications

• Bachelor’s or Master’s degree in Quantitative Finance, Financial Engineering, Economics, or Mathematics.
• FRM or PRM designation is highly preferred.
• 3 to 5+ years in middle-office risk management, treasury analytics, or financial auditing within commercial or investment banking.

Responsibilities

• Monitor Sensitivity: Track BPV/DV01, duration, and convexity of fixed-income portfolios.
• Perform Stress Testing: Model portfolio performance against economic shocks and yield curve shifts.
• Calculate Risk Metrics: Compute VaR, ES, and Stressed VaR on trading positions.
• Enforce Limit Compliance: Monitor daily breaches of regulatory and internal risk limits, escalate violations.
• Assess Structural Risk: Analyze IRRBB and NII sensitivity.
• Evaluate Concentration: Identify and mitigate high concentrations in asset classes, sectors, or counterparties.
• Collaborate with Treasury: Review FTP frameworks and liquidity buffers for balance sheet stability.
• Recommend Hedging: Propose derivative strategies like swaps or forwards to mitigate open risk exposures.

Skills

SQL

Python

R

Fixed-income knowledge

Derivative pricing

Education

Bachelor’s or Master’s degree in Quantitative Finance/Finance

FRM or PRM designation preferred

Tools

Murex

Bloomberg

Reuters

Job description

City Savings Bank in Metro Manila seeks a Market Risk and Portfolio Officer to monitor, quantify, and control risks from banking and trading books, ensuring exposures stay within risk appetite and Basel guidelines.

The role covers BPV/DV01, duration, convexity, VaR, ES, IRRBB, and NII sensitivity, with collaboration to align liquidity and capital. FRM/PRM and 3–5+ years in risk are preferred.