CIB - Market Risk - Credit Portfolio Group - Associate - NY, NY

Job description

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, asset management and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the worlds most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. www.jpmorganchase.com .

Group Description

CIB Market Risk Management is an independent risk group, reporting to the firm's Chief Risk Officer (CRO), which identifies, measures, monitors and controls market risk. The group forms the key interface for discussing risk issues with the trading desks but retains independent reporting lines through the Risk management chain.

CIB Market Risk performs the following primary functions:

· Independent ongoing identification, monitoring and control of business unit market risk

· Performance of stress testing and qualitative risk assessments

· Analysis of aggregated risks and tail risk exposure

· Facilitation of efficient risk-return decisions

· Regular dialogue with the trading businesses with respect to risk appetite, risk limits and individual large and complex transactions.

Job Description

CIB Risk is seeking an Associate level professional for the CIB Market Risk Credit Portfolio Group based in New York. The role will be part of a trading floor based team covering the Credit Portfolio Group (CPG) business. Its main responsibility will be to provide weekly attestation on the Value at Risk (VaR) and Stressed Value at Risk (SVaR) for the CPG business, focusing on accuracy of risk exposures and market data and coordination of open items with Technology, MRQR and other teams, as well as analysis and explain of changes in these metrics. CPG's portfolio includes credit exposure created by traditional credit products and derivative transactions. In addition, CPG is also responsible for hedging the CIB's funding risk on derivatives. Differential Discounting (“DD”) is also part of CPG and serves as a central utility for other JPMorgan trading desks to hedge their exposure to these rates (“CSA risk”). As a result of its activities, CPG is exposed to a wide range of derivatives risks in all asset classes (credit, rates, fx, equities and commodities).

Responsibilities include, but are not limited to:

· Oversight of changes in VaR and sVaR vs. changes in risk profiles across the whole spectrum of risk factors covered by the Credit Portfolio Group business

· Track performance of VaR (daily) and sVaR (weekly) through MIS/dashboards provided by VaR analytics, Reporting teams, and Market Data teams

· Provide qualitative and quantitative justification for VaR/sVaR changes/accuracy.

· Lead change and enhancements in the business and Risk around strategic and tactical initiatives.

· Working closely with Market Risk Coverage's partner organizations that oversee the development and implementation of VaR models to make sure that such work streams have appropriate representation and input from Market Risk Coverage

· Understanding and leading improvements in our methodologies for computing VaR and sVaR.

· Work with the Risk Managers to ensure that concentrated or concerning risk positions are appropriately reported and managed in VaR/sVaR.

· Performing ad-hoc analysis to meet ongoing requests from Market Risk Coverage and other stakeholders.

· Extract value-added information to discuss in the weekly Risk forums, in particular to highlight tail risks vs upcoming market events (for instance, to highlight best/worst VaR days and VaR/Stressed-VaR drivers)

· Work with the Front Office, Quantitative Research, Model Review Group, Finance, Middle Office and Valuation Control on all VaR and sVaR related issues.

Desired profile

· Market Risk or other risk management experience preferred.

· Knowledge of derivatives in at least one asset class (IR, Credit, FX, Equity or Commodity).

· Experience working with MaRRS, Kapital and/or Athena a plus.

· Knowledge of VaR modeling strongly preferred.

· Strong project management skills, ability to gain consensus among staff and drive initiatives to completion effectively.

· Ability to multi-task, work well under pressure with commitment to deliver under tight deadlines.

· Strong analytical & quantitative skills are required.

· Clear oral and written communication in English is required.

· Strong proficiency in Excel is required. Knowledge of VBA and Access is preferred.

· Bachelor's degree required. Advanced degree preferred