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Asset Liability Risk Management Officer

  • Full Time, onsite
  • Philippine Bank of Communications (PBCOM)
  • Makati, Philippines
Salary undisclosed

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Job 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.
  • Support policy review and development for items related to Interest Rate Risk and Liquidity Risk.

Job Qualifications

  • Bachelor’s degree in any analytical or business related course. Relevant certifications (e.g. CFA, FRM, etc.) are a plus.
  • 1-3 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