Structural Interest Rate Risk [Multiple Positions Available]
JPMorganChase
New York, NY, USA
USD 188,178-188,178 / year + Equity
DESCRIPTION:
Duties: Manage second-line risk oversight of firmwide structural interest rate risk (SIRR), ensuring alignment with the firm's risk framework. Provide comprehensive coverage of key interest rate risk in the banking book (IRRBB) metrics, including basis point value (BPV), earnings at risk (EaR), and economic value sensitivity (EVS). Monitor and calibrate limits, and review changes in metric usage to maintain consistency with risk standards. Lead the design and execution of forward-looking scenario analysis using internally developed and regulatory-defined rate shocks, varying Federal Reserve policy paths, and macroeconomic variables. Perform ad hoc stress tests ahead of notable market events and quantify the potential impact of interest rate movements on firm earnings and economic value under stress scenarios. Coordinate with Treasury front office, Finance, and other risk partners to ensure firmwide risk metrics are methodologically consistent, well- documented, and operationally effective. Review model changes and new implementation proposals from a second-line perspective to ensure adequate risk coverage and internal controls. Prepare and deliver regular updates to senior stakeholders, including Treasury and Board Risk Committees. Translate complex interest rate risk profiles into concise narratives with clear firmwide implications. Respond to regulatory inquiries and participate in targeted reviews focused on IRRBB methodologies, assumptions, and exposures. Mentor junior team members in interest rate risk management responsibilities and review their deliverables. Present risk analysis and scenario updates in global risk calls and forums to senior management and other stakeholders.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Quantitative Finance, Finance, Economics, or related field of study plus five (5) years of experience in the job offered or as Structural Interest Rate Risk, Investment Banker, Market Risk Specialist, or related occupation.
Skills Required: This position requires two (2) years of experience with the following: Analyzing fixed income and interest rate products including bonds, swaps, and swaptions using Excel; Managing interest rate risk and market risk including Interest Rate Risk in the Banking Book (IRRBB) and Value at Risk (VaR) using metrics such as Economic Value of Equity (EVE), Net Interest Income (NII), sensitivities, and DV01; Managing credit spread sensitivity metrics such as Credit Spread Widening (CSW) and CS01, and interest rate risk sensitivities including basis risk; Analyzing securities portfolios across accounting methods including Available for Sale (AFS), Held to Maturity (HTM), and Mark to Market (MTM); Conducting risk analysis of Funds Transfer Pricing (FTP) and funding liabilities including long-term debt and deposits; Setting risk limits and participating in review and challenge of first line of defense activities. This position requires any amount of experience with the following: Analyzing structured products using Python, SQL, and Excel; Performing scenario analysis and stress testing using partial DV01 and key rate duration of the banking book and securities portfolio; Evaluating key risk metrics using fixed income analytics such as bond valuation, duration, and convexity; Analyzing deposit pricing through calculation of deposit beta; Preparing presentations on market environment and risk analysis; Applying Basel regulatory frameworks.
Job Location: 270 Park Ave, New York, NY 10017.
Full-Time. Salary: $188,178.00 - $188,178.00 per year.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we’re setting our businesses, clients, customers and employees up for success.
Manage second-line risk oversight of firmwide structural interest rate risk (SIRR), ensuring alignment with the firm's risk framework.