CTC Risk - Interest Rate Risk in Banking Book (IRRBB) - Analyst/Associate

JP Morgan

Location: Greater London

Job Type: Full time

Posted


CTC Description

The Firm’s Corporate Treasury function and the Chief Investment Office (together referred to as “Treasury/CIO”) manage the Firm’s balance sheet. This includes activities such as:

  • Deploying the Firm’s excess liquidity
  • Managing the Firm’s funding and liabilities
  • Managing the Firm’s structural interest rate and foreign exchange risk
  • Managing the Firm’s liquidity risk and its regulatory compliance

Function Description

CTC Risk seeks to hire a risk manager to join its Interest Rate Risk and FTP Risk Management (IRRM) function. This function provides risk coverage for the Firm and Line of Business interest rate risk exposure arising from the firm’s traditional banking activities which includes 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. This function also provides Risk Management Oversight on the Firm’s Funds Transfer Pricing (FTP) framework – including Base FTP, Liquidity Premium and Resource Allocation.

Key responsibilities include:

Risk Coverage

  • 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

Qualifications

  • 2+ years 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
  • 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
  • Excellent oral and written communication skills with ability to prepare executive level presentations
  • Demonstrated ability to work effectively across different businesses and functional areas
  • Understanding of Balance Sheet management, Interest Rate Risk, Funds Transfer Pricing; or Capital Markets trading environment exposure a strong plus.
  • Understanding of fixed income valuation and risk modeling
  • Knowledge of machine learning and data mining is a plus
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