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Corporate - CTC Interest Rate Risk Management-VP-NY

Job Description

Firm 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, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.
 
CTC Description
The Firm’s Corporate Treasury function and the Chief Investment Office (together referred to as “Treasury/CIO”) manage the Firm’s balance sheet.  This includes activities such as:
  • Deploying the Firm’s excess liquidity
  • Managing the Firm’s funding and liabilities
  • Managing the Firm’s structural interest rate and foreign exchange risk
  • Managing the Firm’s liquidity risk and its regulatory compliance
 
CTC Risk Description
CTC Risk manages the risk of the retained portfolio generated from the Chief Investment Office, Global Treasury, and “other” Corporate businesses (Firm-wide Pension Plan, Insurance programs, and Mortgage Servicing Rights). The CTC Chief Risk Officer (CRO) reports to the Firm-wide CRO and is responsible for the end to end risk framework within the CTC LOBs; including, but not limited to, Market Risk, Credit Risk, Liquidity Risk, Reputation Risk, Country Risk, Principal Risk, and Model Risk.
 
Function Description
CTC Risk seeks to hire a risk manager to join its Interest Rate Risk Management (IRRM) function. This function provides risk coverage for the Firm and Line of Business interest rate risk exposure arising from the firm’s traditional banking activities which includes the extension of loans and credit facilities, taking deposits and issuing debt (collectively referred to as ‘non-trading activities’), and also the impact from the CIO investment securities portfolio and other related CIO and Treasury activities. 
 
IRRM is responsible for but not limited to creating governance over IRR assumptions and parameter selection/calibration, identifying and monitoring interest rate risk and establishing limits. IRR Management is responsible for the oversight of risk management policies which establish requirements to measure monitor and control the firm’s IRR.
 
Position Description
The position offers the opportunity to gain insight into how the Firm models and manages interest rate risk.  This individual will participate in the ongoing review of modeling assumptions and parameters, and the development of a suite of risk management tools. The team partners with other internal Risk groups, Corporate Treasury and the ALM analytics group to ensure consistency in methodology across products.  In addition, the team interacts with external regulators to address questions raised during examinations and also offers opportunities for significant visibility to Lines of Business and CTC senior management
 
 
Key responsibilities include:
  • Participate in the assessment of IRR process across the firm and provide independent oversight of the firm’s adherence to the IRR management framework
  • Establish risk governance framework for the structural interest rate risk reporting (duration of equity, earnings-at-risk and economic value of equity) and operating model of the firm
  • Develop a governance process for the Funds Transfer Pricing (FTP) process; including participating in various working groups and steering committees
  • Analyze the line of business interest rate risk, establish risk limits and partner with Risk reporting to implement limit monitoring process
  • Partner with ALM analytics and technology for IRR infrastructure and reporting build out
  • Review and analyze the lines of business asset and liability modeling assumptions and implications on the firm’s risk
  • Develop key risk analytic reports for senior management, business partners and regulators
  • Provide independent review of regulatory and internal stress scenarios, including analytical review of key market and behavioral assumptions and management of ad hoc analysis
  • Support efforts around development and execution of stress and back-testing processes
  • Field regulatory requests regarding model updates/migrations
  • Prepare executive presentations and lead meetings
  • People management and development
 
  • 5+ years experience in Risk Management, Treasury or a Finance function
  • Experience in fixed income products, mainly loans, deposits and capital markets instruments
  • Strong analytical and quantitative skills, critical thinking, investigative problem-solving and decision making talents
  • High level of self-initiative required, including an ability to balance and execute multiple projects
  • Understanding of stress testing, various return measures and experience with stress construction. Understanding of the governance and controls surrounding risk monitoring
  • Knowledge of standard financial concepts including present value analysis and financial modeling
  • Demonstrated effectiveness working independently and in multi-disciplinary teams. Organized and able to execute responsibilities with minimal supervision
  • Excellent oral and written communication skills with ability to prepare executive level presentations
  • Proven leadership, influencing and negotiation skills. Easily able to build credibility with senior managers
  • Demonstrated ability to work effectively across different businesses and functional areas
  • Knowledge of Funds Transfer Pricing, Asset and Liability Management, Interest Rate Risk, and Quantitative Risk Management software (QRM) is a strong plus
 
 
 
 
Req #: 160042073
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 0 US Dollar (USD)

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