Associate at J.P. Morgan
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JP Morgan - Analyst - Structural Interest Rate Risk - Global Markets Group (0-3 yrs)
Chief Investment Office, Treasury and Corporate (CTC) Risk manages the risk of the retained portfolio generated from the Chief Investment Office (CIO), Global Treasury, and - other- Corporate businesses (Firm-wide Pension Plan, Insurance programs, and Mortgage Servicing Rights).
The CIO manages the firm's structural interest rate and foreign exchange risks, and conservatively invests the firm's excess deposits. Interest rate risk is managed primarily via investment securities and interest rate derivatives as tools to manage the firm's asset liability mismatch. The firm's non-USD foreign exchange risk is managed through specifically defined hedging mandates. The CIO also manages the JP Morgan Retirement Plan and hedges the firm's Mortgage Servicing Rights.
Treasury manages the firm's capital, balance sheet, liquidity and funding strategy and positions, including short dated and secured funding, debt and capital issuance and buybacks, and liquidity risk management, as well as the company's rating agency relationships and corporate insurance activities.
An excellent academic record and Masters Degree in Business-Administration / Economics / Finance / Mathematics / Engineering (or CA) from a reputed institute are required; certifications in related quantitative field (CFA/FRM/other) is preferred.
- Strong understanding of Bank's B/S items, mortgage markets and central banks monetary policy actions; required to follow market news, macroeconomic and political developments and asset prices closely - to be able to recommend strategic and tactical investment avenues across asset classes and geographies; confidence to challenge portfolio managers- market positions and views
- Understanding of financial instruments at various levels in the capital structure
- Deep understanding of options pricing theory desirable as well as experience with US mortgage markets
- Understanding of the governance and controls surrounding risk monitoring including, VaR, stress testing, various return measures and experience with stress construction
- Excellent oral and written communication skills
- Demonstrated ability to work effectively and independently across different businesses and functional areas
- Ability to work under pressure
- Strong technical skills in Excel, PowerPoint, VBA and Bloomberg
- Managing structural interest rate risk arising from asset-liability mismatch(ALM) through investment securities and interest rate derivatives
- Identify, analyze and assess the impact of specific market events or trends on the current and projected balance sheet and income statement of the Bank
- Assisting the development of the global Net Interest Income (NII) strategy and NII optimization for CIO and Treasury
- Managing Market Risk for Pipeline/Warehouse mortgages
- Keeping close track of JPM's interest rate risk profile and effects of current and forecast macroeconomic trends on IRR profile
- Involved in Regulatory Submissions like ICAAP, CCAR, Volcker, Risk Appetite Statement, etc.
- Monitoring Economic (EVE & DoE) and Earnings based measures(EaR) for Interest Rate Risk in Banking Book (IRRBB)
- Contribute to the definition of risk policies, procedures and overall governance, in order to efficiently manage the risks, both in business-as-usual and in stressed conditions
- Provide independent review of regulatory and internal stress scenarios, including analytical review of key market and behavioral assumptions and management of ad hoc analysis
- Carrying out in-depth analysis and creating presentations for senior management, Directors- Risk Policy Committee(DRPC) and Asset-Liability Committee(ALCO)
- Monitor on regular basis existing FTP framework
- Oversee the monitoring and evaluation of existing risk limits that provide control over the SIRR function
- Support efforts around development and execution of stress and back-testing processes
- Assist with regulatory requests regarding model updates/migrations
- Regular contact and exchange with other departments (i.e. within CTC Risk), other LOB's and stakeholder management