Market Risk [Multiple Positions Available]

JPMorgan Chase & Co.•New York, NY

4d•$195,700 - $210,000•Onsite

About The Position

This role involves performing 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. Key responsibilities include executing stress testing methodology, analyzing market risk drivers, and communicating results to senior management. The position also entails pre-trade governance, market analysis, monitoring stress and risk sensitivities against limits, and producing ad hoc quantitative and qualitative analysis on investment portfolios. A significant part of the role involves reviewing the work of junior team members, staying updated on market changes, evaluating and implementing updates to financial models, and reviewing/enhancing business processes within Corporate, Treasury and Chief Investment Office (CTC) Market Risk. Coordination with technology teams, model developers, and business management for modeling and technology platform migrations is also required. The role includes designing and implementing risk analytics for enhanced risk coverage and second-line challenge.

Requirements

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.
Alternatively, 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.
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.

Responsibilities

Perform coverage for regulatory CCAR submissions relevant to Treasury and Chief Investment Office investment portfolio and Treasury funding desk positions.
Execute stress testing methodology, analyze market risk drivers, and communicate 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 interest rate risk management and municipal bond portfolios.
Synthesize top-of-mind research topics relevant to investment portfolios into analysis and special reports.
Review work output of junior team members, including reports sent to senior management.
Stay up to date with market changes and analyze their impact on portfolios.
Evaluate and implement updates to financial models used in market risk management.
Perform review of business processes within Corporate, Treasury and Chief Investment Office (CTC) Market Risk and implement enhancements and automation.
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.