Market Risk [Multiple Positions Available]
Full-time
New York, NY, USA
USD 195,700-210k / year + Equity
DESCRIPTION:
Duties: Perform coverage for regulatory Comprehensive Capital Analysis and Review (CCAR) submissions relevant to the firm's Treasury and Chief Investment Office investment portfolio positions and Treasury funding desk positions including execution of stress testing methodology, analysis of market risk drivers, and communication of results to senior management. Perform pre-trade governance and market analysis. Monitor stress and risk sensitivities against risk limits and perform analysis on limits and constraints to desk investment activity. Produce ad hoc quantitative and qualitative analysis on the Treasury and Chief Investment Office (CIO)'s investment portfolio including the interest rate risk management portfolio and municipal bond portfolios for senior management. Synthesize top-of-mind research topics relevant to the investment portfolios into analysis and special reports. Review work output of junior team members including reports sent to senior management for risk managing the Firm's Treasury and Chief Investment Office (CIO) investments in US Treasury bonds, interest rate derivative hedges, and municipal bonds. Stay up to date with market changes and analyze its impact to the portfolios. Evaluate and implement updates to financial models used in market risk management including challenges to proposed methodology, performing impact assessments, and coordinating model implementation timelines. Perform review of business processes within Corporate, Treasury and Chief Investment Office (CTC) Market Risk and implement enhancements and automation to enhance capabilities and streamline infrastructure. Coordinate with technology teams, model developers and business management to manage CTC Risk team requirements in modeling and technology platform migrations. Design and implement risk analytics to enhance risk coverage and second line challenge including Accumulated Other Comprehensive Income (AOCI) and P&L attributions and stress result decompositions.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Mathematics, Finance, Financial Engineering, Economics, or related field of study plus 5 years of experience in the job offered or as Market Risk, Risk Analyst, or related occupation. The employer will alternatively accept a Bachelor's degree in Mathematics, Finance, Financial Engineering, Economics, or related field of study plus 7 years of experience in the job offered or as Market Risk, Risk Analyst, or related occupation.
Skills Required: This position requires experience with the following: Programming in Python and SQL to perform data manipulation, data structuring, data design flow and query optimization to process large volumes of data; Utilizing Quantitative Risk Management to perform data analysis on market indices and portfolio risk analytics to produce actionable insights including stress scenario design, risk limit-setting proposals, and senior management communications; Performing quantitative analysis using Python and Excel to build dynamic tools used for risk-based explanations on profit-and-loss and stress testing scenario results; Value-at-Risk modeling to explain portfolio limit utilizations; Utilizing Bond Math, Risk Analytics, and Fixed Income Risk Hedging to write senior management communications and risk limit-setting proposals; Stress testing including executing regulatory CCAR stress testing scenarios and producing risk-based explanations of impacts; Applying pricing models to determine fair value, quantify risk sensitivities, and monitor trading activities across linear bonds and derivatives, callable bonds and options, using discounted cash flow valuation, Monte-Carlo simulation, and option-pricing models.
Job Location: 270 Park Avenue, New York, NY 10017.
Full-Time. Salary: $195,700 - $210,000 per year.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.
Perform coverage for regulatory Comprehensive Capital Analysis and Review (CCAR) submissions relevant to the firm's Treasury and Chief Investment Office investment portfolio positions and Treasury funding desk positions including execution of stress testing methodology, analysis of market risk drivers, and communication of results to senior management.