MARKET RISK MANAGEMENT OFFICER

The position is responsible for identifying, measuring, monitoring, and controlling the market risk and interest rate risk in the banking book emanating from the trading and banking book positions of the Bank

Responsibilities

• Manages design and implementation of the Bank’s market risk and interest rate risk in the banking book (IRRBB) management framework/system including the development and implementation processes for the quality control of the data captured.
• Suggest, develop and implement measures leading to a better market risk management framework and improvement of internal controls.
• Develop and manage valuation/pricing for treasury products and market risk and IRRBB models of the Bank and maintain the Bank’s Market Risk and Interest Rate Risk in the Banking Book (IRRBB) Management Manual and proposes needed updates/revisions to these documents as appropriate.
• Responsible for monitoring and measurement of risk exposures and limits from trading and banking book portfolio of the Bank.
• Monitors the impact of market risk capital charge on the regulatory capital adequacy of the Bank and assist in the quantification under the Bank’s ICAAP process.
• Perform periodic stress testing for the trading and banking book portfolio of the Bank.
• Assist in the implementation of the new regulatory requirements and submission related to market and IRRBB framework.
• Provides technical and functional assistance, on a need basis, to Bank’s financial-affiliated subsidiaries.
• Respond to ad hoc requests/simulations from the business, risk management or regulators.
  
  

• College graduate, preferably with a degree in: Finance, Mathematics, Statistics, and Economics. Preferably with graduate units in MS Finance/Computational Finance/Financial Engineering, Mathematics, or Statistics.
• At least three (3) years relevant work experience in banking processes, treasury, and financial risk management/analytics (credit, market, or operational risk function)
• Basic understanding of bank risk management principles and business processes, treasury management, modeling and financial valuation theory, and relevant compliance/regulations. High knowledge on financial mathematics, statistics, quantitative techniques.
• Advance skills on MS Excel for financial model development. Preferably with skills on Visual Basic, SAS programming or related tools.