Ctc Risk International Asset Liability Management

vor 4 Wochen

Frankfurt am Main, Deutschland JPMorgan Chase Bank, N.A. Vollzeit

As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture in Risk Management and Compliance is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

Chief Investment Office Treasury and Corporate (CTC) Risk is looking to hire a risk professional with strong quantitative capabilities to join the International Asset & Liability Management (ALM) Risk function to focus on legal entities in the European Union (EU).

Reporting into the Head of EU ALM Risk, you will be responsible for liquidity risk, interest rate risk in the banking book (IRRBB), credit spread risk in the banking book (CSRBB), and Funds Transfer Pricing (FTP) related matters for JP Morgan's EU based legal entities, including risk monitoring, metric development, reporting, and governance.

The International ALM Risk group partners with other internal risk groups, Corporate Treasury, Line of Business Treasury groups and senior management to inform funding and risk management strategies through normal and stress market environments. International ALM Risk is also a primary resource for external regulators for discussions and analysis of asset liability management risk.

You will gain further insight into various market products, risk metrics and processes, and increase understanding in firmwide company initiatives. The nature of the position also offers significant opportunities for you to create a broad personal network across J.P. Morgan, and visibility to senior management.

Your responsibilities will include:

- Providing independent oversight on Treasury and Lines of Business adherence to the liquidity and IRRBB frameworks
- Working with Treasury, legal entity risk managers and relevant risk groups to develop and maintain the risk governance framework including policy review, limit monitoring and standards, and best practices
- Developing key risk analytic reports for senior management, business partners, risk committees and regulators
- Supporting the development of models e.g. for use in capital allocation
- Developing proposals for liquidity, IRRBB and CSRBB rate risk monitoring, metrics and stress tests
- Providing independent review and detailed analysis of regulatory and internal stress scenarios and ad hoc requests, including analytical review of key market and behavioral assumptions
- Presenting and justifying assumptions and findings to senior management governance forums
- Providing stress analysis and reporting around stressed capital impacts, LOB views, legal entity views, currency views and structural liquidity and interest rate views
- Supporting the development and build-out of the liquidity and interest rate risk management process and infrastructure
- Interacting and partnering with Lines of Business and corporate functions to understand, analyze and develop proposals regarding potential liquidity and interest rate risk implications at a granular and holistic level
- Dealing with regulatory requests regarding liquidity and interest rate risk

**Minimum Skills, Experience and Qualifications**
- 3+ years of experience in risk management in Asset Liability Risk Management
- Undergraduate degree in mathematics or engineering required
- Ability and working experience coding in Python
- Experience with intraday liquidity risks, including understanding of clearing activities and their impact to the entity
- Experience of interest rate risk, specifically including understanding of economic value and earnings-related measures, and the impacts from interest rates, positions, and forecasts
- Understanding of assumptions used to model behavioral aspects of interest rate risk
- Working knowledge of EBA guidelines and relevant regulations on Liquidity, IRRBB and CSRBB
- Experience with requirements under additional jurisdictions including Switzerland, Russia, and the USA preferred
- Working knowledge of LIBOR transition and implications for rate markets going forward
- Ability to innovate and improve processes, demonstrated through creation of automated solutions to help the team work more effectively and efficiently
- Understanding of financial markets and current events, and a demonstrated ability to infer the relevance and impacts for the entity, and the firm
- Demonstrated thought leadership through active involvement in Diversity Equity Inclusion (DEI) / Outreach projects
- Demonstrated ability to prioritize and manage multiple tasks, and to effectively deal with ad-hoc requests from senior stakeholders
- Strong analytical and critical thinking skills, as well as a high level of self-initiative required, including an ability to balance and execute multiple projects at once and deliver results under tight time constraint

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