CIB - Counterparty Credit Infrastructure & Capital (CCIC) - Associate

Job description

CCIC EMEA
Counterparty Credit Infrastructure and Capital (CCIC) is a global private side group with a presence in London, New York and Asia, and forms part of Credit Risk. The group has a wide range of responsibilities, the functions most relevant to this opening include:
· Basel capital (IMM) approval and implementation for Counterparty Credit Risk (CCR) RWA for JPMS plc;
· Oversight of the end-to-end Basel capital production and control framework for CCR; capital analytics, eg for regulatory QIS
· Ownership of all aspects of legal entity governance for EMEA Credit Risk, including quantitative and qualitative input into regulatory submissions (eg ICAAP) and implementation of policies, procedures and processes at the legal entity level;
· Collateral Risk Management for EMEA, involving day to day negotiation of economic ISDA/CSA terms (calculating recommended haircuts and determining collateral asset eligibility across multiple lines of business), and driving the firm's response to regulatory change particularly as it relates to OTC derivative market reform;
· Ownership and oversight of the stress risk framework for EMEA leveraged finance transactions
· Providing exposure analysis expertise for traditional credit products (loans) and acting as the conduit for cross-Chinese Wall information flow between the private side (typically Credit) and CPG with particular focus on secondary markets risk management strategies and execution.

CCIC works closely with Credit Officers, Legal Entity Risk Officers, UK Finance, Reg Policy, RCMO, CPG, client coverage bankers and derivatives marketers at both the transactional and product level on an ongoing basis.

Role

The position is for an Associate in the counterparty credit and capital part of CCIC. This team are the Basel capital (IMM) and legal entity subject matter experts within EMEA Credit Risk. The legal entity responsibilities involve working closely with the Legal Entity Credit Officers and include coordinating the production and review of Credit Risk input into rolling regulatory submissions such as ICAAP, Recovery & Resolution, Pillar 3 disclosures etc.

The CAPIMM project is the formal application to the PRA for waiver permission to use internal models for the calculation of credit risk capital for JPMS plc. Currently JPMS plc calculates credit risk capital under Standardised Basel rules which are highly conservative. Obtaining IMM approval is one of JPM's highest priority projects in Europe given it will permit JPMS plc to use Basel 3 Advanced method of calculation which is critical for continued business migration as required by both regulation and the EMEA LE strategy.

IMM approval requirements are extremely stringent, requiring not just an assessment of the quality of the end-to-end modelled numbers, but also ensuring that the PRA have the highest confidence in JPM's overall credit risk management, governance, controls, systems and infrastructure. The PRA's review is ongoing and CCIC are the primary interface on the CCR aspects of IMM, working closely with UK Finance, Reg Policy and Basel Measurement & Analytics (BM&A) to provide ongoing oversight of the RWA numbers under IMM.

The ALF stress risk framework covers the underwritten component of large loan transactions and requires understanding of the loan product, various forms of documentation (including pre-commitment papers) and the execution process. These transactions are nuanced in nature and as such there is a requirement to interpret pricing and structural terms from documentation and ensure that they are modelled correctly to compute accurate stress numbers.

Desired profile

Requirements

Product: The candidate must be highly numerate and would ideally be comfortable with derivative exposure metrics (EE, EEPE, EAD) and associate collateralization/documentation and/or regulatory rules and the associated implementation and governance requirements. An understanding of risk management methodologies, particularly stress testing is desirable, also an appreciation of the evolving regulatory landscape, complex legal entity frameworks, various forms of documentation (loan and derivative) and of the regulatory capital requirements for derivatives as prescribed by Basel and implemented in Europe via CRR/CRD IV.

Communication: Strong communication skills are critical for this role as the candidate will have significant exposure to all levels of the Risk organization and, externally, to the regulators and consultants. An ability to be clear, concise, logical and thorough in articulating processes, methodologies and general governance will be crucial. There will also be a requirement to adjust the style as appropriate, for example to probe regulators for additional guidance/information as required. The candidate must be able to communicate on the technical aspects of derivative products and how they are captured within the Gauss infrastructure and articulate how JPM meets minimum regulatory standards, potentially in the face of some challenge from time to time.

Work style : The candidate must possess a strong risk and control mindset, have demonstrable partnership skills and be able to work across Risk; be very detailed oriented but also able to deliver on multiple time sensitive timelines. In addition, the candidate must be able to work independently.

JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.