Chief Investment Office,Treasury and Corporate (CTC) Risk - Interest Rate Risk in Banking Book (IRRBB) - Analyst/Associate

JP Morgan

Location: Greater London

Job Type: Full time


As Specialized Risk Analyst in Chief Investment Office,Treasury and Corporate (CTC) Risk you will provide risk coverage for the Firm and Line of Business interest rate risk exposure including the extension of loans and credit facilities, taking deposits and issuing debt (collectively referred to as ‘non-trading activities’ and also known as IRRBB – Interest Rate Risk in the Banking Book), and also the impact from the CIO investment securities portfolio and other related CIO and Treasury activities. .

You will have an opportunity to manage the Firm’s funding and liabilities as well as structural interest rate and foreign exchange risk. You will be included in such activities as deploying the Firm’s excess liquidity and managing JPMorgan liquidity risk and its regulatory compliance. This function also provides Risk Management Oversight on the Firm’s Funds Transfer Pricing (FTP) framework – including Base FTP, Liquidity Premium and Resource Allocation.

Job responsibilities

  • Primarily responsible for risk coverage for firmwide interest rate risk including DoE, EVS, EaR and Risk Governance for IRRM team
  • Ongoing monitoring, forward-looking analysis and strategic risk management for key measures of Interest Rate Risk such as Basis Point Value (BPV), Earnings at Risk and Economic Stress
  • Perform deep-dives on relevant IRR and FTP topics to support independent risk analysis
  • Enhance and maintain governance over IRR assumptions, provide independent challenge of changes to assumptions
  • Actively contribute and participate in LOB ALCOs (where applicable), LOB risk affirmation meetings and Risk Committees

Required qualifications, capabilities, and skills

  • Experience in Risk Management, Treasury or a Finance function
  • Knowledge of standard financial concepts, strong quantitative and analytical skills, critical thinking, investigative problem-solving and decision making talents
  • High level of self-initiative required, including an ability to balance and execute multiple projects. Excellent oral and written communication skills with ability to prepare executive level presentations
  • Understanding of the governance and controls surrounding risk monitoring
  • Demonstrated effectiveness working independently and in multi-disciplinary teams. Organized and able to execute responsibilities with minimal supervision
  • Demonstrated ability to work effectively across different businesses and functional areas
  • Understanding of fixed income valuation and risk modeling

Preferred qualifications, capabilities, and skills

  • Knowledge of machine learning and data mining is a plus
  • Understanding of Balance Sheet management, Interest Rate Risk, Funds Transfer Pricing; or Capital Markets trading environment exposure a strong plus
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