Market Risk Governance Lead [Multiple Positions Available]

JPMorgan Chase & Co.•New York, NY

11d•Onsite

About The Position

This role provides quantitative expertise and guidance to Quantitative Research, Policy, and Project Management teams on market risk capital calculations. The position involves subject matter expertise on the interpretation of Basel, U.S., and other global Fundamental Review of the Trading Book (FRTB) regulations, collaborating with the firm's policy team, regulators, and industry forums. A key responsibility is driving JPMC's Market Risk capital forecasting exercise as part of the regulatory CCAR (Comprehensive Capital Analysis and Review) and internal Risk Appetite exercise, including providing commentaries and presenting to Senior Management. The role also involves partnering with stakeholders to formulate proposals for validating policy interpretations on market risk capital models, driving these through the Policy governance process. Additionally, it includes performing Model Performance and Model Governance initiatives for JPMC's internal Market Risk VaR and Capital Models, analyzing model documents, validating against rule frameworks, challenging methodologies, and engaging with stakeholders for remediation. The role provides expertise on regulatory capital rules to Risk, Finance, and Front Office business-aligned teams and supports the team in risk management by providing guidance on JPMC's BAU risk metrics including VaR, Stressed VaR, and FRTB Capital.

Requirements

Bachelor's degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 7 years (84 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation.
Alternatively, a Master's Degree in Engineering (any), Finance, Mathematics, Risk Management, or related field of study plus 5 years (60 months) of experience in the job offered or as Market Risk Governance Lead, Market Risk Governance Senior Officer, or related occupation.
Analyzing and reporting market risk of cross-asset portfolios.
Concepts involved in managing market risk and capital computation for portfolios, including VaR (Value-at-Risk), Market risk sensitivities (Greeks), and Model performance using cross-set techniques including Backtesting and capital forecasting.
Global Market risk regulatory capital models and frameworks including Basel 2.5, FRTB (Fundamental Review of Trading Book), CRR2 and CRR3 (EU), and Basel 3.1 (UK).
Utilizing pricing and risk management financial products models to generate actionable insights and commentaries from market risk data, including VaR explains and change commentary, PnL Attribution, FRTB capital explain and attribution.
Designing and developing Excel reports and PowerPoint presentations using advanced functionalities including lookup, pivots, data analysis add-ons and results including capital drivers, scenario analysis, and market risk capital forecasting results.
Using Python with libraries including pandas and numpy to perform data manipulation and data structuring on datasets and generate actionable insights and commentary.
Managing regulatory deliverables and ongoing implementation of capital and market risk regulatory requirements.

Responsibilities

Provide quantitative expertise and guidance to Quantitative Research, Policy, and Project Management teams on all matters related to market risk capital calculations.
Provide subject matter expertise on the interpretation of Basel, U.S. and other global Fundamental Review of the Trading Book ("FRTB") regulations and collaborate with the firm's policy team, regulators, and industry forums.
Drive JPMC's Market Risk capital forecasting exercise as part of the regulatory CCAR (Comprehensive Capital Analysis and Review) and internal Risk Appetite exercise, including providing commentaries and presenting to Senior Management.
Partner with stakeholders including Market Risk and Quantitative Research teams to formulate proposals intended to validate policy interpretations on existing and upcoming market risk capital models, and drive these proposals through the Policy governance process, including in large forums.
Perform Model Performance and Model Governance initiatives for JPMC's internal Market Risk VaR and Capital Models.
Analyze model documents and validate against rule frameworks.
Challenge methodologies where required and engage with key stakeholders including Quantitative Research, Market Risk Managers, and Policy to provide remediation.
Provide expertise on the regulatory capital rules to Risk, Finance, and Front Office business-aligned teams.
Support the team in risk management by providing guidance on JPMC's BAU risk metrics including VaR, Stressed VaR, and FRTB Capital, including both Standardized and Internal Models measures.