Credit Risk – EMEA – Counterparty Credit, Infrastructure & Capital – Associate, London

Job description

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 Management.

The group has a wide range of responsibilities, the functions most relevant to this opening include:

1. Basel capital (IMM) approval and implementation for Counterparty Credit Risk (CCR) RWA for JPMS plc;

2. Oversight of the end-to-end Basel capital production and control framework for CCR;

3. Ownership of all aspects of legal entity governance for EMEA Credit Risk, including quantitative and qualitative input into regulatory submissions (e.g. ICAAP) and implementation of policies, procedures and processes at the legal entity level;

4. 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;

5. Ownership and oversight of the stress risk framework for EMEA leveraged finance transactions

6. 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 Executives, Legal Entity Risk Officers, UK Finance, Reg Policy, 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 Officer 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 IMM 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 CCIC team will be the primary interface with the PRA on the CCR aspects of IMM in partnership with the Program Management team, and will work closely with UK Finance, Reg Policy and Basel Reporting to provide ongoing oversight of the RWA numbers post-IMM approval.

The 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

Product:

The candidate must be highly numerate and would ideally be comfortable with derivative exposure metrics (EE, EPE, EAD) and traditional credit products (loans). 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 in the IMM approval being successful. There will also be a requirement to adjust the style as appropriate, for example to probe 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.

About J.P. Morgan's 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. Further information about J.P. Morgan is available at www.jpmorgan.com .

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