Job Summary:Within limits of authority established by relevant regulations of the Bangko Sentral ng Pilipinas (BSP) and approved internal corporate policies, the Market and Liquidity Risk Management Officer is primarily responsible for identifying, measuring, controlling, monitoring, and reporting the risk exposures of the Corporation consisting of: (i) market risk arising from market-making, dealing, and position-taking in interest rate, foreign exchange, equity and commodities; and (ii) liquidity risk, defined as the current and prospective risk to earnings or capital arising from the Corporation's inability to meet obligations when these come due without incurring unacceptable losses or costs including the inability to manage unplanned decreases or changes in funding sources.
The Market and Liquidity Risk Management Officer is responsible for identifying market and liquidity risks inherent in the Corporation's business, recommending trading risk and liquidity management policies; setting uniform standards of risk assessment and measurement, capital allocation and consumption; providing senior management with periodic risk simulation and evaluation; coordinating technical review for assessment of products and activities; and analyzing limit compliance exceptions.
- DUTIES & RESPONSIBILITIES:
Identify existing and prospective market and liquidity risks based on the Corporation's desired and expressed level of risk exposure versus its ability and willingness to assume risks based on its capital and access to other fund sources.
- Create daily, weekly, monthly and quarterly reports related to market and liquidity risk in accordance with established policies and procedures.
Perform the day-to-day oversight of actual market and liquidity risks against approved limits and report these to management.- Perform the daily value-at-risk calculations for all of the Corporation's market risk positions and compare these positions and risk measures to established limits.
Ensure compliance with internal limits and report all liquidity limit and market limit excesses to the appropriate Chief Risk Officer.
- Perform stress testing that should involve assessing the company's ability to withstand situational changes that adversely affect its liquidity position including: (i) economic or industry downturns; (ii) market-risk events; and (iii) liquidity conditions.
Identify the types of situations, such as higher than expected levels of delinquencies and defaults, or the combinations of credit and market events, that could produce substantial losses or liquidity problems.
Bachelor's degree in any of the following fields, Accounting, Finance, Economics, Statistics, Mathematics or any quantitative and related courses from a reputable university; preferably with an MBA or any post-graduate degree in Business, Finance, Economics, Mathematics or Statistics
- With at least 2 years experience in market and liquidity risk management ; must have a deep understanding of the different types of financial instruments
Can analyze current market trends/events in relation to the different risk exposures- Analytical, resourceful, detailed oriented, with good interpersonal skills, with above-average computer skills; must be able to liaise with personnel at all levels in the organization
- Note: This is an on-site work set up.
Job Types: Full-time, Permanent
Schedule:
Education:
* Bachelor's (Preferred)
