JPMorgan Chase is a leading global financial services firm with assets of $2.5 trillion and operations in more than 60 countries. The firm is a leader in investment banking, commercial banking, financial services for small business and consumers, financial transaction processing, asset management and private equity.
CCP QR is a global private side group within Global Credit Risk. Team members are quantitative credit analysts responsible for:
Assessing the credit risk of Clearinghouses from a quantitative perspective.
Evaluating the risk new cleared products present the Firm through its clearing memberships.
Acting as “area experts” for CCP risk related issues.
Conducting stress testing on cleared portfolios.
The team covers all Clearinghouses globally with which the Firm has credit relationships or memberships with team members in London, New York and Asia. Product coverage includes OTC derivatives (credit default swaps, interest rate swaps, etc…) and exchange traded instruments (cash equities, bonds, futures & options, etc…).
This position is for a quantitative credit analyst at the Associate level. The analyst is responsible for the assessment of credit risk presented by Clearinghouses, primarily through evaluation of the funded resources available (to the Clearinghouse) to manage member defaults. This requires the intensive examination of risk management approaches, including assessment of models driving collateral requirements (such as valuation models determining variation margin and market risk models driving initial margin). For the largest names, the analyst will be expected to quantify the exposure to the Clearinghouse in terms of potential liability to the Firm. The analyst’s views are a major component of the overall assessment of Clearinghouse credit quality. In addition, the analyst will be expected to provide guidance to CCPs looking to enhance their approaches to risk management or considering clearing new products and to discuss CCP risk management with Regulators.
With the advent of the global regulatory push towards centralized clearing, the role of CCP risk has become increasingly critical internally as well as having a higher profile in external forums; this is an area and job with significant growth potential.
Quantitative: The candidate must be highly numerate, with an advanced degree in a quantitative discipline with a strong understanding of statistics. The candidate should have some ability to program in Python, Matlab, R or other scripting language.
Product: The candidate must have an understanding of credit and market risk management methodologies across a variety of asset classes.
Communication: The candidate must be able to clearly and logically articulate a view, both verbally and in writing.
Work style: The candidate must possess a strong risk and control mindset, have strong partnership skills, be very detailed oriented but also able to deliver on multiple time sensitive timelines.