CIB Risk – Market Risk – Securitized Products Group – Associate

Job description

JPMorgan

J.P. Morgan is a leading global financial services firm with assets of $2.1 trillion and operations in more than 60 countries. The firm is a leader in investment banking , financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. Information about J.P. Morgan is available at www.jpmorganchase.com .

About J.P. Morgan Corporate & Investment Bank

J.P. Morgan's Corporate & Investment Bank is a global leader across banking, markets and investor services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.

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 candidate for the CIB Market Risk NA Securitized Products Group team, based in New York. This role will be part of a trading floor based team covering the North American Securitized Products business. This role will integrate into a team that serves as the primary Market Risk Coverage contact for the NA SPG trading businesses.

Responsibilities include, but are not limited to:

· Serving as the Market Risk Coverage lead for the interpretation, analysis and on-going monitoring of VaR for Securitized Products, and projects related to VaR
· 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 Stress Testing on the positions taken by the Securitized Products desks.
· Performing ad-hoc analysis related to VaR to meet ongoing requests from Market Risk Coverage and other organizations
· Liaising with technologists in the business and Risk around strategic and tactical initiatives, including those related to VaR and other risk sensitivities
· Acting as a point person for the analysis and integrity of the risk sensitivities that measure the risks being taken by the trading desks, liaising with the groups that produce the sensitivities including Risk Reporting, Product Control, Technology, Research and Operations, as necessary.
· Measure, monitor, and control the market risk for securitized products, by analyzing portfolios, daily trades and risk sensitivities.
· Perform independent ad-hoc risk analysis.
· Understand how risk positions impact balance sheet and RWA usage.
· Familiarity with accounting issues involving securities, loans and derivatives.
· Liaising with other groups involved with risk taking and measurement including Sales & Marketing, Finance, and the Trading Desk heads.
· Acting as a point person for the communication of risk appetite and utilizations to the Trading Desk Heads.
· Understanding and communicating the full suite of risks Securitized Products represent, including sensitivities such as interest rate risk, credit spread risk, default risk and prepayment risk.
· Assisting in the development of new tools or projects to enhance our risk management capabilities.

Desired profile

· Market Risk or other risk management experience preferred.
· Knowledge of securitized product, interest rate, credit or other fixed income markets required. Experience with the securitized products markets strongly preferred.
· Knowledge of VaR modeling in general and VaR modeling specific to Securitized Products strongly preferred.
· Knowledge of stress testing methodologies for fixed income markets strongly preferred.
· Understand regulatory rules as they are released and ability to synthesize key takeaways for Market Risk.
· Experience with regulatory interaction and familiarity with regulatory rules pertaining to risk a plus.
· Strong project management skills, ability to gain consensus among staff and drive initiatives to completion effectively absolutely critical.
· Ability to multi-task, work well under pressure with commitment to deliver under tight deadlines.
· Ability to work independently
· 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.
· Experience working with Bond Studio, Sensei, MaRRS, Kapital and/or Athena a plus.
· Bachelor's degree required. Advanced degree preferred.