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Firmwide Market Risk – Market Risk Basel Group – Analytics - Analyst/ Associate- NY

Job Description

JP 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.

Market Risk is an independent risk group within Risk Management, reporting to the Firm’s CRO, which identifies, measures, monitors and controls market risk. Market risk management seeks to facilitate efficient risk/return decisions, reduce volatility in operating performance and ensure that the firm's market risk profile is transparent to senior management, the Board of Directors and regulators. Firmwide Market Risk works closely with the Market Risk teams aligned to each Line of Business and other partner teams including Risk Reporting, Risk Policy, Regulatory Risk, Market Risk Middle Office, Business Middle Offices, Control & Oversight and Model Review to set Market Risk policy and a consistent framework for Market Risk across the firm, and to share best practices across LOB Market Risk teams. The Market Risk Basel Group is part of the Firmwide Market Risk organization and is responsible for developing and delivering the operating model and framework for Basel Market Risk Rule implementation in partnership with key stakeholder groups.


Description

 

The Market Risk Basel Group (MRBG) is seeking a candidate, based in New York, to join the MRBG Analytics team to support tactical calculation and analytics needs for the Fundamental Review of the Trading Book (FRTB) and other Basel/capital related items.  FRTB is the new Market Risk Capital Rule from the Basel Committee which is expected to be live in 2019-2020.  The individual will support the tactical production of market risk capital & explanation of capital changes based on proposed FRTB rules on an ongoing basis. These results will be used for multiple internal and external commitments, including Basel III monitoring exercises, impact analyses required for senior management communication & planning, and other key efforts supporting the FRTB strategic program. The successful candidate will partner across Firmwide Market Risk, Market Risk Coverage, Regulatory Capital Management Office, Model Risk and Development, Quantitative Research, and Product Control teams to deliver and explain the FRTB capital results.  In addition to FRTB calculation and analytics, the candidate will provide tactical support for other MRBG Basel related analytics needs.


Key Responsibilities

  • Supports the effort to further develop and refine the tactical calculation and reporting capabilities for FRTB market risk capital.
  • Execute market risk capital calculations for proposed FRTB rules across all in-scope desks & products and select legal entities within the Firm
  • Provide explanation of market risk capital movements with supporting commentary around position and market moves, trading strategy changes and FRTB rule or implementation change
  • Partner across teams to on-board new products & desks onto the FRTB capital reporting process
  • Provide central analytical support to the MRBG LOB Leads and FRTB Program Management on the implementation of Fundamental Review of the Trading Book
  •  Daily management of processes to ensure functions are performed accurately and within required timeframes

  • Strong Python and VBA skills.
  • Strong analytical and quantitative skills
  • Experience in Market Risk, Regulatory Capital, Valuation, Finance Product Control or related function.
  • Knowledge of P&L Explain and VaR and how to use and interpret sensitivity data.
  • Ability to multi-task and balance multiple priorities, work under pressure and manage tight deadlines.
  • Self motivated, demonstrate initiative, innovation, and solid problem solving skills. Confidence to drive issues through to completion often working to tight deadlines.
  • Excellent written and verbal communications skills and a strong track record of partnership
  • Strong process and control mindset
  • Bachelor’s degree, Masters a plus
Req #: 160040221
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: US Dollar (USD)

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